Inferring causal interactions in financial markets using conditional Granger causality based on quantile regression
Hong Cheng, Yunqing Wang, Yihong Wang, Tinggan Yang
| Year of publication: |
2022
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|---|---|
| Authors: | Cheng, Hong ; Wang, Yunqing ; Wang, Yihong ; Yang, Tinggan |
| Subject: | Conditional Granger-causality | Multivariate time series | Quantile regression | Specification test | Kausalanalyse | Causality analysis | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10107-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013169042