A nonparametric copula based test for conditional independence with applications to Granger causality
| Year of publication: |
2009-06-01
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| Authors: | BOUEZMARNI, Taoufik ; ROMBOUTS, Jeroen ; TAAMOUTI, Abderrahim |
| Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
| Subject: | nonparametric tests | conditional independence | Granger non-causality | Bernstein density copula | bootstrap | finance | volatility asymmetry | leverage effect | volatility feedback effect | macroeconomics |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2009041 |
| Classification: | C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C19 - Econometric and Statistical Methods: General. Other ; G1 - General Financial Markets ; G12 - Asset Pricing ; E3 - Prices, Business Fluctuations, and Cycles ; E4 - Money and Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
| Source: |
Persistent link: https://www.econbiz.de/10008550166