… the quantilogram and cross-quantilogram under long memory. We establish the sub-root-n
central limit theorems for quantilograms … interval construction for the quantilograms. The newly …

… the quantilogram and cross-quantilogram under long memory. We establish the sub-root-n
central limit theorems for quantilograms … interval construction for the quantilograms. The newly …

… of inference for the quantilogram. Specifically, we derive the asymptotic distribution of the
quantilogram under general weak dependence conditions, specifically strong mixing. The …

… stronger than necessary. They argue that: (1) volatility dependence can induce sign dependence
… is consistent with sign dependence and time-varying volatility. Thus a naive test of sign …

… We apply the proposed QWB-based quantilogram in analysing the quantile serial dependence
in two major crude oil markets: WTI and Brent. We are the first to apply the quantilogram …

… We study the cross-quantile dependence of … -quantilogram approach, we provide two novel
findings. First, although prior studies show that RE stock returns have a positive dependence …

… We perform partial cross-quantilograms to further assess dependence structures between
commodities and corresponding producer indices, and to test the robustness of our results. …

… is defined as a standardized measure of serial dependencies … In Figure 4 we present
the cross-quantilograms that we estimated … in the R package quantilogram; cf. Han et al. (2014). …

… quantilograms measure lead-lag dependencies between two time series. These lead-lag
dependencies … effects, interconnectedness, nonlinear dependencies etc. Essentially they all …

… In the following section, we investigate quantile dependence between currencies and FX
volatility, and equity and bond markets using a cross-quantilogram. The model analyzes a …