crossq {quantilogram}

Cross-Quantilogram

Description

Returns the cross-quantilogram

Usage

crossq(DATA, vecA, k)

Arguments

DATA

An input matrix

vecA

A pair of two probability values at which sample quantiles are estimated

k

A lag order (integer)

Details

This function obtains the cross-quantilogram at the k lag order.

Value

Cross-Quantilogram

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

References

Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016). "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series." Journal of Econometrics, 193(1), 251-270.

Examples

## data source 
data("sys.risk") 

## data: 2 variables 
D = sys.risk[,c("Market", "JPM")]

# probability levels for the 2 variables 
vecA = c(0.1, 0.5)

## cross-quantilogram with the lag of 5
crossq.max(D, vecA, 5)