This article proposes a new nonparametric test to detect financial contagion by using a Kendall's tau-based asymmetric measure of comovements between two time series. Simulation studies demonstrate the reasonable size performance and good power in finite sample of our test. An empirical...

As an alternative to quantile regression, expectile regression can also draw the complete picture of the response and characterize the heterogeneity of the data. However, there is no publication on testing for Granger-causality in expectiles. This paper aims to develop a sup-Wald test for...