Regression modelQuantile-based
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.
EconMind ile uygulaSoonVideoSoon
Tam yöntemi oku
Members only
Sign inSign in with a free account to read this section.
Sources
- Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257. DOI: 10.1016/j.jeconom.2012.04.004 ↗
- Kılıç, R., & Pohlmann, T. (2011). Directional spillover effects in international equity markets. Journal of Banking & Finance, 35(9), 2351-2361. DOI: 10.1016/j.jbankfin.2011.02.014 ↗