Tobias Kley

London School of Economics & Political Science (LSE) - Department of Statistics

Houghton Street

London, England WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

247

SSRN CITATIONS

8

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables

Number of pages: 53 Posted: 24 Oct 2015 Last Revised: 30 Dec 2018
Jozef Baruník and Tobias Kley
Charles University in Prague - Department of Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 247 (169,092)
Citation 11

Abstract:

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Cross-spectral analysis, Ranks, Copula, Stock market, Risk

2.

On Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities

Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 242-250, 2018
Number of pages: 9 Posted: 16 Apr 2018
Ruhr University of Bochum, Ruhr University of Bochum - Faculty of Mathematics, ECARES, Universite Libre de Bruxelles, London School of Economics & Political Science (LSE) - Department of Statistics and Ruhr University of Bochum - Faculty of Mathematics
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Abstract:

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Copula‐based spectrum, Laplace spectrum, quantile spectrum, time‐varying spectrum, Wigner–Ville spectrum