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.
Izvorni zapis
Citati kopirani doslovno iz izvornog zapisa metode. Ne impliciraju nikakvu provjeru na razini tvrdnje.
- 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
Uređene tvrdnje
Tvrdnje pohranjene u knjigu dokaza, svaka s vlastitom procjenom.
Ovaj prikaz ne izmišlja procjenu tvrdnje kada knjiga dokaza nema nijednu.
Povezane metode
Generirano iz grafa metode i prikazano kao strojno predložene relacije — ne implicira se nikakva tvrdnja dokaza.