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Quantile Spectral Analysis for Locally Stationary Time Series
16 references·1 citing·47 second hop
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • 2005Weather Forecasting for Weather Derivatives403 cited
  • 2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM253 cited
  • 2006Statistical inference for time-varying ARCH processes251 cited
  • 1999Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach240 cited
  • 2009The extremogram: A correlogram for extreme events218 cited
  • 2007The quantilogram: With an application to evaluating directional predictability215 cited
  • 2010Locally stationary long memory estimation134 cited
  • 2000Generalized Spectral Tests for Serial Dependence100 cited
  • 2015Of copulas, quantiles, ranks and spectra: An $L_{1}$-approach to spectral analysis79 cited
  • 2008Normalized least-squares estimation in time-varying ARCH models66 cited
  • 2006A Haar–Fisz technique for locally stationary volatility estimation

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62 cited
  • 2012Some aspects of modeling dependence in copula-based Markov chains53 cited
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    • 2019Quantile coherency: A general measure for dependence between cyclical economic variables28 cited