Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping
We examine the quantile serial dependence in crude oil prices based on the Linton and Whang’s quantile-based portmanteau test which we improved by means of quantile wild bootstrapping (QWB). Through Monte Carlo simulation, we find that the quantile wild bootstrap-based portmanteau test performs bett...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Routledge
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/54982 |