High-dimensional granger causality tests with an application to VIX and news
Andrii Babii, Eric Ghysels, and Jonas Striaukas
| Year of publication: |
2024
|
|---|---|
| Authors: | Babii, Andrii ; Ghysels, Eric ; Striaukas, Jonas |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 3, p. 605-635
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| Subject: | fat tails | Fuk-Nagaev inequality | Granger causality | HAC estimator | high-dimensional time series | inference | sparse-group LASSO | Kausalanalyse | Causality analysis | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Börsenkurs | Share price | Volatilität | Volatility | Induktive Statistik | Statistical inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015045166