The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)

First Author: Han H
Attributed to:  The Centre for Microdata Methods and Practice funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1016/j.jeconom.2016.03.001

Publication URI: http://dx.doi.org/10.1016/j.jeconom.2016.03.001

Type: Journal Article/Review

Parent Publication: Journal of Econometrics

Issue: 1