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Quantile Spectral Processes: Asymptotic Analysis and Inference


  • Tobias Kley
  • Stanislav Volgushev
  • Holger Dette
  • Marc Hallin


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Suggested Citation

  • Tobias Kley & Stanislav Volgushev & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Processes: Asymptotic Analysis and Inference," Working Papers ECARES ECARES 2014-07, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/156105

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    File Function: 2014-07-KLEY_VOLGUSHEV_DETTE_HALLIN-quantile
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    Cited by:

    1. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
    2. Jozef Barun'ik & Tobias Kley, 2015. "Quantile Cross-Spectral Measures of Dependence between Economic Variables," Papers 1510.06946,
    3. repec:spr:sistpr:v:20:y:2017:i:3:d:10.1007_s11203-017-9166-4 is not listed on IDEAS
    4. Yaeji Lim & Hee-Seok Oh, 2016. "Composite Quantile Periodogram for Spectral Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 195-221, March.

    More about this item


    time series; spectral analysis; periodogram; quantiles; copulas; ranks; spearman; blomqvist; gini spectra;

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