5 citations · 8 across the 12 of their papers we have counts for
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math.ST2016
Testing for Common Breaks in a Multiple Equations System
Tatsushi Oka, Pierre Perron
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regr…
math.ST2014★ 1 cited
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
Heejoon Han, Oliver Linton, Tatsushi Oka +1
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional pr…