英文标题：
《Quantile Coherency: A General Measure for Dependence between Cyclical
Economic Variables》
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作者：
Jozef Barun\\\'ik and Tobias Kley
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最新提交年份：
2018
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英文摘要：
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains invisible when only the traditional analysis is employed. We define estimators which capture the general dependence structure, provide a detailed analysis of their asymptotic properties and discuss how to conduct inference for a general class of possibly nonlinear processes. In an empirical illustration we examine the dependence of bivariate stock market returns and shed new light on measurement of tail risk in financial markets. We also provide a modelling exercise to illustrate how applied researchers can benefit from using quantile coherency when assessing time series models.
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中文摘要：
在本文中，我们引入分位数相干性来测量频域联合分布中出现的一般依赖结构，并认为这种类型的依赖对于经济时间序列是自然的，但在仅使用传统分析时仍然是不可见的。我们定义了捕获一般依赖结构的估计量，详细分析了它们的渐近性质，并讨论了如何对一类可能的非线性过程进行推理。在一个实证例子中，我们检验了二元股票市场回报率的依赖性，并对金融市场尾部风险的度量提供了新的思路。我们还提供了一个建模练习，以说明应用研究人员在评估时间序列模型时如何从使用分位数相关性中获益。
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分类信息：

一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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