The quantilogram: With an application to evaluating directional predictability

By Oliver B. Linton, Yoon-Jae Whang. 2007

203 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f2dcaf7a13661e9cf6ab49a6efaa0525cfb32b14

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Management Science and Operations Research

Citations in the corpus

Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis (2011, background): “It shares the quantile-based flavor of Kedem [1980], Linton and Whang [2007], Li [2008, 2011] and Hagemann [2011].”
Quantile Spectral Processes: Asymptotic Analysis and Inference (2014, unknown): “Linton and Whang [41] introduced the so-called quantilogram, defined as the autocorrelation of the series of indicators I {Xt ≤ q̂τ }, t = 0, . . . , n − 1, where q̂τ denotes the empirical τ -quantile; they discuss the application of this quantilogram (closely related to Hagemann’s τ -quantile perio”
Robust Spectral Analysis (2011, background): “As the next two Examples show, quantile spectral analysis can in fact yield additional insights beyond classical spectral analysis; Linton and Whang (2007) consider similar models.”
Predictive quantile regression with persistent covariates: IVX-QR approach (2015, background): “Another piece of related research is Han et al. (2014) which studies the quantile dependence between stock return and a predictor, wherein the new analysis becomes possible by extending quantilogram theory (Linton and Whang, 2007) to the cross-quantilogram.”
Quantile spectral analysis for locally stationary time series (2014, unknown): “e also includes Li (2012, 2014), Kley et al. (2016), and Lee and Subba Rao (2012). Somewhat dierent approaches were taken by Hong (2000), Davis et al. (2013), and several others; in the time domain, Linton and Whang (2007), Davis and Mikosch (2009), and Han et al. (2014) introduced the related conce”
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “In the special case of a single time series, the cross-quantilogram becomes the quantilogram proposed by Linton and Whang (2007).”
When is a copula constant? A test for changing relationships (2011, background): “walk, a modied version of the basic stationarity test of Nyblom and Mäkeläinen (1983) is appropriate.”
Quantile coherency: A general measure for dependence between cyclical economic variables (2015, unknown): “Most closely related to the notion of how we view the dependence structures is the multivariate regression quantile model of White et al. (2015), which studies the degree of tail interdependence among different random variables directly. Quantile cross-spectral analysis, as designed in this paper, a”