Testing for cross-quantilogram change

Chia-Min Chang, Yu-Hsiang Cheng, Tzee-Ming Huang

For two time series $\{(Y_t,Z_t^Y){\}}_t$ and $\{(X_t,Z_t^X){\}}_t$, the directional dependence of $\{X_t{\}}_t$ on $\{Y_t{\}}_t$ while removing the impact of $Z_t^X$ on $X…