Inferring causal interactions in financial markets using conditional Granger causality based on quantile regression
Year of publication: |
2022
|
---|---|
Authors: | Cheng, Hong ; Wang, Yunqing ; Wang, Yihong ; Yang, Tinggan |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 59.2022, 2, p. 719-748
|
Subject: | Conditional Granger-causality | Multivariate time series | Quantile regression | Specification test | Kausalanalyse | Causality analysis | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation |
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