crossq.max | R Documentation |
The cross-quantilograms from 1 to a given lag order.
crossq.max(DATA, vecA, Kmax)
DATA |
An input matrix |
vecA |
A pair of two probability values at which sample quantiles are estimated |
Kmax |
The maximum lag order (integer) |
This function calculates the partial cross-quantilograms up to the lag order users specify.
A vector of 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 lags between 1 and 5
crossq.max(D, vecA, 5)
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