The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series

9 February 2014

Papers citing "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series"

4 / 4 papers shown

Title
Whittle estimation based on the extremal spectral density of a heavy-tailed random field E. Damek T. Mikosch Yuwei Zhao J. Zienkiewicz 29 1 0 07 Nov 2022
The integrated copula spectrum Yuichi Goto Tobias Kley Ria Van Hecke S. Volgushev Holger Dette Marc Hallin 24 2 0 14 Dec 2021
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables Jozef Baruník Tobias Kley 27 195 0 23 Oct 2015
Quantile Spectral Analysis for Locally Stationary Time Series Stefan Birr S. Volgushev Tobias Kley Holger Dette Marc Hallin 70 40 0 17 Apr 2014