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Quantilograms under Strong Dependence

Author

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  • Ji Hyung Lee
  • Oliver Linton
  • YOON-JAE WHANG

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.

Suggested Citation

  • Ji Hyung Lee & Oliver Linton & YOON-JAE WHANG, 2018. "Quantilograms under Strong Dependence," Working Paper Series no111, Institute of Economic Research, Seoul National University.
    • Handle: RePEc:snu:ioerwp:no111
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    More about this item

    Keywords

    Long Memory; Moving Block Bootstrap; Nonlinear Dependence; Quantilogram and Cross-Quantilgoram; Uniform Reduction Principle;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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