Cross Quantilogram Matrix

Version 1.0.0 (359 KB) by William Rose
Estimate and plot cross quantilogram matrix.
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Updated 25 Jul 2024
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crossQ

These Matlab functions and scripts estimate and plot the cross quantilogram matrix. Function crossQmtx(data,p,lag) returns a matrix of cross quantilogram values, when p is a vector of probabilities in the range 0<p(i)<1. The repository Systemic Risk by Tommaso Belluzzo includes functions to compute the scalar cross quantilogram. It requires p to be a scalar in the range 0.01<=p<=0.1. Function crossQmtxplot() produces a plot of a cross quantilogram matrix. Script crossQmtxTest.m demonstrates the use of crossQmtx() and plotcrossQmtx(). See the PDF for more examples of usage. The function crossQmtx() here, and the functions in Systemic Risk, return the same scalar value, when called with identical arguments. One weakness of (the current version of) crossQmtx() is that it does not compute confidence intervals. See the PDF for more details and references.

Cite As

William Rose (2024). Cross Quantilogram Matrix (https://github.com/rosewc/crossQ), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2024a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Systemic Risk

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Version Published Release Notes
1.0.0

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.