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Quantile-based Spectral Analysis of Time Series
Dear Professor,
I would like to apply your quantile cross-spectral (coherency) approach to a different dataset and compare it with other methods. However, I don't know how to draw a heatmap for the quantile cross-spectral coherency, for example the paper Are cryptocurrencies connected to forex? A quantile cross-spectral approach. I'm wondering if you could offer me some guidance on how to perform the code. It would help me a lot to learn from your work and understand your paper better.
Please note that I only intend to use the code for academic purposes and I will fully acknowledge your contribution in any future publications that may result from this research. If you have any questions or concerns, please do not hesitate to contact me.
Thank you very much for your time and attention. Hope to reply~
best regards
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