Of copulas, quantiles, ranks and spectra: An $L_1$-approach to spectral
analysis

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Of copulas, quantiles, ranks and spectra: An $L_1$ -approach to spectral analysis

30 November 2011

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Papers citing "Of copulas, quantiles, ranks and spectra: An $L_1$-approach to spectral analysis"

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Title
A semi-parametric estimation method for quantile coherence with an application to bivariate financial time series clustering Cristian F. Jiménez-Varón Ying Sun Ta‐Hsin Li 46 1 0 17 Jun 2023
Approximate Methods for Bayesian Computation Radu V. Craiu Evgeny Levi 65 5 0 06 Oct 2022
The integrated copula spectrum Yuichi Goto Tobias Kley Ria Van Hecke S. Volgushev Holger Dette Marc Hallin 55 2 0 14 Dec 2021
Quantile-based fuzzy C-means clustering of multivariate time series: Robust techniques Ángel López-Oriona P. D’Urso J. A. Vilar B. Lafuente-Rego AI4TS 47 22 0 22 Sep 2021
Quantile-based fuzzy clustering of multivariate time series in the frequency domain Ángel López-Oriona J. A. Vilar P. D’Urso AI4TS 53 29 0 08 Sep 2021
Finding our Way in the Dark: Approximate MCMC for Approximate Bayesian Methods Evgeny Levi Radu V. Craiu 75 6 0 16 May 2019
Fourier analysis of serial dependence measures Ria Van Hecke S. Volgushev Holger Dette 48 5 0 13 Mar 2017
On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities Stefan Birr Holger Dette Marc Hallin Tobias Kley S. Volgushev 71 2 0 22 Nov 2016
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables Jozef Baruník Tobias Kley 75 199 0 23 Oct 2015
Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package Tobias Kley 124 29 0 28 Aug 2014
Quantile Spectral Analysis for Locally Stationary Time Series Stefan Birr S. Volgushev Tobias Kley Holger Dette Marc Hallin 191 40 0 17 Apr 2014
A Fourier analysis of extreme events T. Mikosch Yuwei Zhao 107 15 0 12 Mar 2014
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series Heejoon Han O. Linton Tatsushi Oka Yoon-Jae Whang 128 424 0 09 Feb 2014
Quantile spectral processes: Asymptotic analysis and inference Tobias Kley S. Volgushev Holger Dette Marc Hallin 306 59 0 31 Jan 2014