articleJournal of EconometricsMar 31, 2016GREEN OA

The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series

HHHeejoon HanOLOliver LintonTOTatsushi OkaYWYoon‐Jae Whang

Sungkyunkwan University · University of Cambridge · +2 more institutions

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Topics
Keywords
  • Predictability
  • Quantile
  • Econometrics
  • Test statistic
  • Asymptotic distribution
  • Null hypothesis
  • Statistic
  • Mathematics
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