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arXiv · 2603.20716

Testing for cross-quantilogram change

Chia-Min Chang·Yu-Hsiang Cheng·Tzee-Ming Huang
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Abstract

For two time series $\{ (Y_t, Z_t^Y) \}_{t}$ and $\{(X_t, Z_t^X)\}_{t}$, the directional dependence of $\{ X_t \}_{t}$ on $\{ Y_t \}_{t}$ while removing the impact of $Z_t^X$ on $X_t$ and the impact of $Z_t^Y$ on $ Y_t$ can be measured by cross-quantilograms. When the two time series are obeserved over two periods of time, it can be of interest to learn whether the cross-quantilograms remain the same for the two periods of time. We propose a test for this purpose, and the cross-quantilograms are estimated using the estimators proposed by Han (2016). The $p$-value of the proposed test is obtained based on a bootstrap approach.

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Chia-Min Chang, Yu-Hsiang Cheng, Tzee-Ming Huang. 2026-03-21. Testing for cross-quantilogram change. https://arxiv.org/abs/2603.20716

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