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Cross-Quantilogram/Evidence
Method evidence record

Cross-Quantilogram

The cross-quantilogram extends the cross-correlogram concept to quantile pairs of two time series, measuring dependence at different quantile levels. Introduced by Linton and Whang (2012), it captures how shocks at specific quantile levels in one series relate to movements in another, enabling asymmetric dependence analysis. This approach is particularly valuable when downside and upside risk correlations differ materially.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Cross-Quantilogram Analysis
Taxonomic method record · regression-model / econometrics
  • Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257. · URL
  • Kılıç, R., & Pohlmann, T. (2011). Directional spillover effects in international equity markets. Journal of Banking & Finance, 35(9), 2351-2361. · URL
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyMethod of Moments Quantile Regressionmachine-suggested · Relational suggestion, not evidence.Same method familyQARDLmachine-suggested · Relational suggestion, not evidence.Same method familyQuantile VARmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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