Granger-causality in quantiles between financial markets : using copula approach
Year of publication: |
2014
|
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Authors: | Lee, Tae-hwy ; Yang, Weiping |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 33.2014, p. 70-78
|
Subject: | Contagion in financial markets | Copula functions | Inverting conditional copula | Granger-causality in conditional quantiles | Multivariate Verteilung | Multivariate distribution | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Ansteckungseffekt | Contagion effect | Theorie | Theory | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics |
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