手法を比較

	分位点VAR	クロス・クオンタイルグラム
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2006	2012
提唱者	Koenker and Xiao	Oliver Linton and Yoon-Jin Whang
種類	Distribution impulse response	Correlation measure
原典	Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990.	Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257.
別名	Quantile-based impulse response	—
関連	3	3
概要	Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times.	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.