QUANTILOGRAMS under STRONG DEPENDENCE

Ji Hyung Lee, Oliver Linton, Yoon Jae Whang

Research output: Contribution to journalArticlepeer-review

Abstract

We develop the limit theory of the quantilogram and cross-quantilogram under long memory. We establish the sub-root-n central limit theorems for quantilograms that depend on nuisance parameters. We propose a moving block bootstrap (MBB) procedure for inference and establish its consistency, thereby enabling a consistent confidence interval construction for the quantilograms. The newly developed reduction principles for the quantilograms serve as the main technical devices used to derive the asymptotics and establish the validity of MBB. We report some simulation evidence that our methods work satisfactorily. We apply our method to quantile predictive relations between financial returns and long-memory predictors.

Original languageEnglish (US)
Pages (from-to)457-487
Number of pages31
JournalEconometric Theory
Volume36
Issue number3
DOIs
StatePublished - Jun 1 2020
Externally publishedYes

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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