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Cross-Quantilogram/Ushahidi
Rekodi ya ushahidi wa mbinu

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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Cross-Quantilogram Analysis
Rekodi ya mbinu ya kiajenda · 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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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.

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Sources recorded, not reviewed

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