crossq: Cross-Quantilogram

In quantilogram: Cross-Quantilogram

Cross-Quantilogram

Description

Returns the cross-quantilogram

Usage

crossq(DATA, vecA, k)

Arguments

DATA	An input matrix of dimensions T x 2, where T is the number of observations. Column 1 contains the first variable and Column 2 contains the second variable. This function will apply a k-period lag to the second variable during computation.
vecA	A pair of two probability values at which sample quantiles are estimated
k	A lag order (integer)

Details

This function obtains the cross-quantilogram at the k lag order.

Value

Cross-Quantilogram

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

References

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.

Examples

## 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)

quantilogram documentation built on Sept. 11, 2024, 5:56 p.m.