A nonparametric test for granger causality in distribution with application to financial contagion
Year of publication: |
April 2016
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Authors: | Candelon, Bertrand ; Tokpavi, Sessi |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 2, p. 240-253
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Subject: | Financial spillover | Kernel-based test | Tails | Theorie | Theory | Kausalanalyse | Causality analysis | Statistischer Test | Statistical test | Spillover-Effekt | Spillover effect | Nichtparametrisches Verfahren | Nonparametric statistics | Ansteckungseffekt | Contagion effect | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
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