A nonparametric test for granger causality in distribution with application to financial contagion
Bertrand Candelon, Sessi Tokpavi
| Year of publication: |
April 2016
|
|---|---|
| Authors: | Candelon, Bertrand ; Tokpavi, Sessi |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 2, p. 240-253
|
| Subject: | Financial spillover | Kernel-based test | Tails | Kausalanalyse | Causality analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Ansteckungseffekt | Contagion effect | Statistischer Test | Statistical test | Spillover-Effekt | Spillover effect | Theorie | Theory | Finanzkrise | Financial crisis | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1026774 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691324