Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic Modelling 31 (2013) C, pp. 276-285
This paper proposes an original procedure which allows for testing of Granger-causality for multiple risk levels across tail distributions, hence extending the procedure proposed by Hong et al. (2009). Asymptotic and finite sample properties of the test are considered. This new Granger-causality...