The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
Heejoon HanDepartment of Economics Sungkyunkwan University Seoul Republic of KoreaOliver LintonFaculty of Economics, University of Cambridge, Cambridge, UK;Tatsushi OkaDepartment of Economics, National University of Singapore, SingaporeYoon‐Jae WhangDepartment of Economics; Seoul National University; Seoul Republic of Korea
2016en
ABI
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Cited by 20 references