Corpus ID: 199472661

Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics

  title={Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics},
  author={Ta-Hsin Li},
  journal={arXiv: Statistical Finance},
  • T. Li
  • Published 6 August 2019
  • Economics, Mathematics
  • arXiv: Statistical Finance
Nonlinear dynamic volatility has been observed in many financial time series. The recently proposed quantile periodogram offers an alternative way to examine this phenomena in the frequency domain. The quantile periodogram is constructed from trigonometric quantile regression of time series data at different frequencies and quantile levels. It is a useful tool for quantile-frequency analysis (QFA) of nonlinear serial dependence. This paper introduces a number of spectral divergence metrics… Expand
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