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  • Search: subject:"Conditional Granger Causality"
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Year of publication
Subject
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Causality analysis 3 Kausalanalyse 3 Ansteckungseffekt 1 Conditional Granger causality 1 Contagion effect 1 Credit risk 1 Estimation theory 1 Exchange rate 1 Financial networks 1 Granger causality index 1 Inter-sector contagion 1 Kreditrisiko 1 MINAR 1 Network 1 Netzwerk 1 PC-algorithm 1 Poisson autoregressive models 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time series analysis 1 VAR model 1 VAR-Modell 1 Vectorautoregressive models 1 Wechselkurs 1 Welt 1 World 1 Zeitreihenanalyse 1 causal relationships 1 conditional Granger causality index 1 conditional granger causality 1 connectedness 1 count data 1 exchange rates 1 systemic risk 1 vector autoregressive models 1
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Online availability
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Free 3 CC license 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 3
Author
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Agosto, Arianna 1 Ahelegbey, Daniel Felix 1 Kugiumtzis, Dimitris 1 Le, Tan T. M. 1 Martin, Franck 1 Nguyen, Duc Khuong 1 Papaspyropoulos, Konstantinos G. 1
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DEM working paper series 1 Econometrics : open access journal 1 Working paper 1
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ECONIS (ZBW) 3
Showing 1 - 3 of 3
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On the validity of granger causality for ecological count time series
Papaspyropoulos, Konstantinos G.; Kugiumtzis, Dimitris - In: Econometrics : open access journal 12 (2024) 2, pp. 1-21
Knowledge of causal relationships is fundamental for understanding the dynamic mechanisms of ecological systems. To detect such relationships from multivariate time series, Granger causality, an idea first developed in econometrics, has been formulated in terms of vector autoregressive (VAR)...
Persistent link: https://www.econbiz.de/10014636412
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Default count-based network models for credit contagion
Agosto, Arianna; Ahelegbey, Daniel Felix - 2020
Persistent link: https://www.econbiz.de/10012322249
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Dynamic connectedness of global currencies : a conditional Granger-causality approach
Le, Tan T. M.; Martin, Franck; Nguyen, Duc Khuong - 2018
Persistent link: https://www.econbiz.de/10011893864
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