q.hit

A matrix that has time-series observations in its columns

DATA

A vector of probabilty values at which sample quantiles are estimated

vecA

Returns the matrix of quantil-hits

Estimation and inference methods for the
cross-quantilogram. The cross-quantilogram is a measure of nonlinear
dependence between two variables, based on either unconditional or
conditional quantile functions. The cross-quantilogram can be
considered as an extension of the correlogram, which is a correlation
function over multiple lag periods and mainly focuses on linear
dependency. One can use the cross-quantilogram to detect the presence
of directional predictability from one time series to another. This
package provides a statistical inference method based on the
stationary bootstrap. See Linton and Whang (2007)
<doi:10.1016/j.jeconom.2007.01.004> for univariate time series
analysis and Han, Linton, Oka and Whang (2016)
<doi:10.1016/j.jeconom.2016.03.001> for multivariate time series
analysis.

q.hit: Quantile Hit

Description

Usage

Arguments

Value

Details