quantilogram-package {quantilogram}R Documentation

Quantilogram Analysis Tools

Description

This package provides a comprehensive set of tools for quantilogram analysis in R. It includes functions for computing and visualizing cross-quantilograms, which are useful for analyzing dependence structures in financial time series data. The package implements methods described in Han et al. (2016) for measuring quantile dependence and testing directional predictability between time series.

Details

The package's functions can be categorized into several groups:

Core Quantilogram Functions:

Visualization Functions:

Advanced Analysis Functions:

For a complete list of functions, see the package index.

Author(s)

Maintainer: Tatsushi Oka oka.econ@gmail.com

Other contributors:

References

Han, H., Linton, O., Oka, T., & Whang, Y. J. (2016). The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics, 193(1), 251-270.


[Package quantilogram version 3.1.1 Index]