15 citations · 21 across the 2 of their papers we have counts for
3 papers
stat.ME2025★ 15 cited
Quantile Fourier Transform, Quantile Series, and Nonparametric Estimation of Quantile Spectra
Ta-Hsin Li
A nonparametric method is proposed for estimating the quantile spectra and cross-spectra introduced in Li (2012; 2014) as bivariate functions of frequency and quantile level. The m…
q-fin.ST2025★ 6 cited
Quantile-Frequency Analysis and Spectral Measures for Diagnostic Checks of Time Series With Nonlinear Dynamics
Ta-Hsin Li
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…
stat.ME2024
A semi-parametric estimation method for quantile coherence with an application to bivariate financial time series clustering
Cristian F. Jiménez-Varón, Ying Sun, Ta-Hsin Li
In multivariate time series analysis, spectral coherence measures the linear dependency between two time series at different frequencies. However, real data applications often exhi…