Measuring nonlinear Granger causality in mean
Xiaojun Song, Abderrahim Taamouti
| Year of publication: |
Apri 2018
|
|---|---|
| Authors: | Song, Xiaojun ; Taamouti, Abderrahim |
| 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. 36.2018, 2, p. 321-333
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| Subject: | Bootstrap | Granger causality measures | Nonlinear causality in mean | Nonparametric estimation | Realized volatility | Risk premium | Time series | Variance risk premium | Kausalanalyse | Causality analysis | Risikoprämie | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression | Prognoseverfahren | Forecasting model | Bootstrap-Verfahren | Bootstrap approach | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1166118 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011895015