Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping

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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...

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Bibliographic Details
Main Authors:	Cheung, Adrian, Su, J., Roca, E.
Format:	Journal Article
Published:	Routledge 2016
Online Access:	http://hdl.handle.net/20.500.11937/54982

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