A Nonparametric Test for Grangercausality in Distribution with Application to Financial Contagion
| Year of publication: |
2014-02-25
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|---|---|
| Authors: | Candelon, Bertrand ; Tokpavi, Sessi |
| Institutions: | Institut de Préparation à l'Administration et à la Gestion (IPAG) |
| Subject: | Granger-causality | Distribution | Tails | Kernel-based test | Fi- nancial Spill-over |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Number 2014-162 49 pages |
| Source: |
Persistent link: https://www.econbiz.de/10010860469