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- Title
Quantile coherency: A general measure for dependence between cyclical economic variables.
- Authors
Baruník, Jozef; Kley, Tobias
- Abstract
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.
- Subjects
PHOTOMETRY; STOCK exchanges; DISTRIBUTION (Probability theory); TIME series analysis; MARKET prices
- Publication
Econometrics Journal, 2019, Vol 22, Issue 2, p131
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1093/ectj/utz002