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

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)
Pages: 11 p.
Date: 2016-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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