Quantilograms under Strong Dependence

34 Pages Posted: 27 Mar 2017 Last revised: 15 Jul 2019

See all articles by Ji Hyung Lee

Ji Hyung Lee

University of Illinois at Urbana-Champaign - Department of Economics

Oliver B. Linton

University of Cambridge

Yoon-Jae Whang

Seoul National University - School of Economics

Date Written: July 2019

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. A moving block bootstrap (MBB) procedure is proposed and its consistency is proved, 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 asymptotics and MBB validity. Confirmatory simulation results are reported. Some empirical practices on quantile predictive relations between financial returns and long memory predictors are performed using the new methods.

Keywords: Long Memory, Moving Block Bootstrap, Nonlinear Dependence, Quantilogram and Cross-Quantilgoram, Uniform Reduction Principle

JEL Classification: C22

Suggested Citation

Lee, Ji Hyung and Linton, Oliver B. and Whang, Yoon-Jae, Quantilograms under Strong Dependence (July 2019). Available at SSRN: https://ssrn.com/abstract=2939361 or http://dx.doi.org/10.2139/ssrn.2939361

Ji Hyung Lee (Contact Author)

University of Illinois at Urbana-Champaign - Department of Economics ( email )

214 David Kinley Hall
1407 W. Gregory
Urbana, IL 61801
United States

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Yoon-Jae Whang

Seoul National University - School of Economics ( email )

San 56-1, Silim-dong, Kwanak-ku
Seoul 151-742
Korea
+82 2 80 6362 (Phone)
+82 2 86 4231 (Fax)

HOME PAGE: http://plaza.snu.ac.kr/~whang

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