QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES

DOI10.1142/S0219024915500442zbMath1337.62334arXiv1507.04990MaRDI QIDQ3460678

Rudi Schäfer, Thomas Guhr, Thilo A. Schmitt, Dette, Holger

Publication date: 8 January 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.04990

zbMATH Keywords

time seriesleverage effectstatistical dependenciesquantile correlations

Mathematics Subject Classification ID

Related Items (1)

Finding our way in the dark: approximate MCMC for approximate Bayesian methods

Uses Software

• Rugarch
• quantilogram

Cites Work

• The quantilogram: with an application to evaluating directional predictability
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
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