| project |
| ARLID |
cav_un_auth*0350251 |
| project_id |
GA16-14179S |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2020 |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod sml 4ah 4as 20231122144157.0 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0298675 |
| cooperation |
| ARLID |
cav_un_auth*0301841 |
| name |
University of Bristol |
| country |
GB |
|
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| contract |
| name |
Standard Licence - Copyright |
| date |
20190128 |
| note |
exclusive licence for the full period of copyright |
|
| mrcbC86 |
1* Article Economics|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods|Statistics Probability |
| mrcbC91 |
C |
| mrcbT16-e |
ECONOMICS|MATHEMATICSINTERDISCIPLINARYAPPLICATIONS|SOCIALSCIENCESMATHEMATICALMETHODS|STATISTICSPROBABILITY |
| mrcbT16-j |
2.067 |
| mrcbT16-s |
2.926 |
| mrcbT16-B |
88.244 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q1* |
| arlyear |
2019 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0507521.pdf, barunik-0507521 -licence.pdf |
| mrcbU14 |
85063408023 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000493351000003 WOS |
| mrcbU63 |
cav_un_epca*0311554 Econometrics Journal 1368-4221 1368-423X Roč. 22 č. 2 2019 131 152 Oxford University Press |