crossq

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. It can be considered an extension of the correlogram,
which is a correlation function over multiple lag periods that 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. For detailed theoretical and
empirical explanations, see Linton and Whang (2007) for univariate
time series analysis and Han, Linton, Oka and Whang (2016) for
multivariate time series analysis. The full references for these key
publications are as follows: (1) Linton, O., and Whang, Y. J. (2007).
The quantilogram: with an application to evaluating directional
predictability. Journal of Econometrics, 141(1), 250-282
<doi:10.1016/j.jeconom.2007.01.004>; (2) Han, H., Linton, O., Oka, T.,
and Whang, Y. J. (2016). The cross-quantilogram: measuring quantile
dependence and testing directional predictability between time series.
Journal of Econometrics, 193(1), 251-270
<doi:10.1016/j.jeconom.2016.03.001>.

Tatsushi Oka

quantilogram

Cross-Quantilogram

Heejon Han

Oliver Linton

Yoon-Jae Whang

crossq function

<dl><dt>DATA</dt>
<dd>An input matrix of dimensions T x 2, where T is the number of observations.
Column 1 contains the first variable and Column 2 contains the second variable.
This function will apply a k-period lag to the second variable during computation.</dd>
<dt>vecA</dt>
<dd>A pair of two probability values at which sample quantiles are estimated</dd>
<dt>k</dt>
<dd>A lag order (integer)</dd></dl>

Arguments

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

Author

Cross-Quantilogram — crossq

<dl>

<dt>DATA</dt>
<dd>An input matrix of dimensions T x 2, where T is the number of observations.
Column 1 contains the first variable and Column 2 contains the second variable.
This function will apply a k-period lag to the second variable during computation.</dd>


<dt>vecA</dt>
<dd>A pair of two probability values at which sample quantiles are estimated</dd>


<dt>k</dt>
<dd>A lag order (integer)</dd>

</dl>

crossq: Cross-Quantilogram

Description

Usage

Value

Arguments

Author

Details

References

Examples