Quantilograms under Strong Dependence

Ji Hyung Lee, Oliver Linton and Yoon-Jae Whang

Working Paper Series from Institute of Economic Research, Seoul National University

Abstract: This paper studies 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 uniform reduction principles (URPs) 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; Uniform Reduction Principle (search for similar items in EconPapers)
Date: 2018-04
New Economics Papers: this item is included in nep-ore
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Related works:
Journal Article: QUANTILOGRAMS UNDER STRONG DEPENDENCE (2020)
Working Paper: Quantilograms under Strong Dependence
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Persistent link: https://EconPapers.repec.org/RePEc:snu:ioerwp:no111

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