The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
- Submitting institution
-
University of Cambridge
- Unit of assessment
- 16 - Economics and Econometrics
- Output identifier
- 4935
- Type
- D - Journal article
- DOI
-
10.1016/j.jeconom.2016.03.001
- Title of journal
- Journal of Econometrics
- Article number
- -
- First page
- 251
- Volume
- 193
- Issue
- 1
- ISSN
- 0304-4076
- Open access status
- Out of scope for open access requirements
- Month of publication
- July
- Year of publication
- 2016
- URL
-
-
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
-
3
- Research group(s)
-
-
- Citation count
- 84
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- -
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -
