quantilogram: Cross-Quantilogram

Estimation and inference methods for the cross-quantilogram. The cross-quantilogram is a measure of nonlinear dependence between two variables, based on either unconditional or conditional quantile functions. The cross-quantilogram can be considered as an extension of the correlogram, which is a correlation function over multiple lag periods and mainly focuses on linear dependency. One can use the cross-quantilogram to detect the presence of directional predictability from one time series to another. This package provides a statistical inference method based on the stationary bootstrap. See Linton and Whang (2007) <doi:10.1016/j.jeconom.2007.01.004> for univariate time series analysis and Han, Linton, Oka and Whang (2016) <doi:10.1016/j.jeconom.2016.03.001> for multivariate time series analysis.

install.packages("quantilogram")

Try the quantilogram package in your browser