crossq | R Documentation |
Returns the cross-quantilogram
crossq(DATA, vecA, k)
DATA |
An input matrix |
vecA |
A pair of two probability values at which sample quantiles are estimated |
k |
A lag order (integer) |
This function obtains the cross-quantilogram at the k lag order.
Cross-Quantilogram
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016). "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series." Journal of Econometrics, 193(1), 251-270.
## data source data("sys.risk") ## data: 2 variables D = sys.risk[,c("Market", "JPM")] # probability levels for the 2 variables vecA = c(0.1, 0.5) ## cross-quantilogram with the lag of 5 crossq.max(D, vecA, 5)
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