crossqreg.max: Corss-Quantilogram up to a Given Lag Order

In quantilogram: Cross-Quantilogram

Corss-Quantilogram up to a Given Lag Order

Description

The cross-quantilograms from 0 to a given lag order.

Usage

crossqreg.max(DATA1, DATA2, vecA, Kmax)

Arguments

DATA1	An input matrix (T x p1)
DATA2	An input matrix (T x p2)
vecA	A pair of two probability values at which sample quantiles are estimated
Kmax	The maximum lag order (integer)

Details

This function calculates the partial cross-quantilograms up to the lag order users specify.

Value

A vector of 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.

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