Tokpavi, Sessi; Caudelon, Bertrand - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014
This paper introduces a kernel-based nonparametric inferential procedure to test for Granger-causality in distribution …. This test is a multivariate extension of the kernel-based Granger-causality test in tail-event introduced by Hong et al …, our test is highly exible as it can be used to check for Granger-causality in specific regions on the distribution …