A Nonparametric Test for Grangercausality in Distribution with Application to Financial Contagion
AbstractThis paper introduces a kernel-based nonparametric inferential proce-
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-162.
Length: 49 pages
Date of creation: 25 Feb 2014
Date of revision:
Granger-causality; Distribution; Tails; Kernel-based test; Fi- nancial Spill-over.;
Other versions of this item:
- Bertrand Caudelon & Sessi Tokpavi, 2014. "A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion," EconomiX Working Papers 2014-18, University of Paris West - Nanterre la Défense, EconomiX.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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