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The Stata Journal
Volume 26 Number 2: pp. 244-273

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The cross-quantilogram: Measuring quantile dependence and testing directional predictability across time-series and cross-sectional data

Pinshan Pan
Department of Economics
Boston College
Chestnut Hill, MA
[email protected]
 Heejoon Han
Department of Economics
Sungkyunkwan University
Seoul, South Korea
[email protected]
Gyure Kim
Department of Economics
Sungkyunkwan University
Seoul, South Korea
[email protected]
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View all articles by these authors: Pinshan Pan, Heejoon Han, Gyure Kim

View all articles with these keywords: crossq, crossq_main, crossq_qstat, crossq_plot, cross-hspace0ptquantilogram, quantile dependence, directional predictability, stationary bootstrap

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