The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
2013/12/17
研討會日期 : 2013-12-17
時間 : 14:30
主講人 : Professor Tatsushi Oka
地點 : Conference Room C103
演講者簡介 : Professor Oka received his Ph.D. in Economics from Boston University. He is currently an Assistant Professor at Department of Economics, National University of Singapore. His research fields are Theoretical and Applied Econometrics.
演講摘要 : This paper considers the cross-quantilogram, which measures the quantile dependence between time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the corresponding test statistic. The limiting distributions depend on nuisance parameters. To construct consistent confidence intervals we employ the stationary bootstrap procedure; we show the consistency of this bootstrap. Also, we consider the self-normalized approach, which is shown to be asymptotically pivotal under the null hypothesis of no predictability. We provide simulation studies and two empirical applications. First, we use the cross-quantilogram to detect predictability from stock variance to excess stock return. Compared to existing tools used in the literature of stock return predictability, our method provides more complete relationship between a predictor and stock return. Second, we investigate the systemic risk of individual financial institutions, such as JP Morgan Chase, Goldman Sachs and AIG.
