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On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities

Stefan Birr, Holger Dette, Marc Hallin (), Tobias Kley and Stanislav Volgushev

No ECARES 2016-38, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: The unicity of the time-varying quantile-based spectrum proposed in Birr et al. (2016) is established via an asymptotic representation result involving Wigner-Ville spectra.

Keywords: copula-based spectrum; laplace spectrum; quantile-based spectrum; time-varying spectrum; wigner-ville spectrum (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2016-11
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