Quantilograms under Strong Dependence

Ji Lee, Oliver Linton and Yoon-Jae Whang

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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 we 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.

Keywords: Long Memory; Moving Block Bootstrap; Nonlinear Dependence; Quantilogram and Cross-Quantilgoram; Reduction Principle (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: obl20
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https://www.econ.cam.ac.uk/sites/default/files/pub ... pe-pdfs/cwpe1936.pdf

Related works:
Journal Article: QUANTILOGRAMS UNDER STRONG DEPENDENCE (2020)
Working Paper: Quantilograms under Strong Dependence (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:1936

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