The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
交叉分位相关图:时间序列分位依赖与方向可预测性检验
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the corresponding test statistic. The limiting distributions depend on nuisance parameters. To construct consistent confidence intervals we employ the stationary bootstrap procedure; we show…