crossq.max {quantilogram}

Corss-Quantilogram up to a Given Lag Order

Description

The cross-quantilograms from 1 to a given lag order.

Usage

crossq.max(DATA, vecA, Kmax)

Arguments

DATA

An input matrix

vecA

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

Kmax

The maximum lag order (integer)

Details

This function calculates the partial cross-quantilograms up to the lag order users specify.

Value

A vector of 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 lags between 1 and 5
crossq.max(D, vecA, 5)