Testing for Granger causality in distribution tails : an application to oil markets integration
Bertrand Candelon; Marc Joëts; Sessi Tokpavi
| Year of publication: |
2013
|
|---|---|
| Authors: | Candelon, Bertrand ; Joëts, Marc ; Tokpavi, Sessi |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 31.2013, p. 276-285
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| Subject: | Extreme risk spillovers | Granger-causality in risk | Distribution tails | Value-at-Risk | Crude oil markets integration | Ölmarkt | Oil market | Kausalanalyse | Causality analysis | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Marktintegration | Market integration | Ausreißer | Outliers | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Volatilität | Volatility | Ölpreis | Oil price | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009729103