0507521 20240103222414.420190812235959.9 85063408023 000493351000003 10.1093/ectj/utz002 22 s. P cav_un_epca*03115541368-4221222 (2019)131-152Oxford University Press cross-spectral analysis ranks copula stock market risk cav_un_auth*0242028 Department of Econometrics Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0378637 Kley T. GB http://library.utia.cas.cz/separaty/2019/E/barunik-0507521.pdf https://academic.oup.com/ectj/article-abstract/22/2/131/5303852 cav_un_auth*0350251 GA16-14179S GA ČR CZ In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains invisible when only the traditional analysis is employed. We define estimators that capture the general dependence structure, provide a detailed analysis of their asymptotic properties, and discuss how to conduct inference for a general class of possibly nonlinear processes. In an empirical illustration we examine the dependence of bivariate stock market returns and shed new light on measurement of tail risk in financial markets. We also provide a modelling exercise to illustrate how applied researchers can benefit from using quantile coherency when assessing time series models. WOS AH 50000 50200 50201 2020 2 4 A hod sml 4ah 4as 20231122144157.0 RVO:67985556 http://hdl.handle.net/11104/0298675 cav_un_auth*0301841 University of Bristol GB 1 Department of Econometrics UTIA-B 50202 ECONOMICS S Standard Licence - Copyright 20190128 exclusive licence for the full period of copyright 3+4 Article Crystallography|Materials Science Multidisciplinary|Physics Applied C MATHEMATICS.INTERDISCIPLINARYAPPLICATIONS|STATISTICS&PROBABILITY|ECONOMICS|SOCIALSCIENCES.MATHEMATICALMETHODS 1.700 0.056 11.1 0.00235 2.067 966 49 2.926 29.84 2.49 142 Q1 2.111 18 Q1 88.244 74.5 Q1 Q1* 1.08 Q1 79.435 2019 Soubory v repozitáři: barunik-0507521.pdf, barunik-0507521 -licence.pdf 85063408023 SCOPUS PUBMED 000493351000003 WOS cav_un_epca*0311554 Econometrics Journal 1368-4221 1368-423X Roč. 22 č. 2 2019 131 152 Oxford University Press