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Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

The locally Gaussian partial correlation

Otneim, Håkon; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 924-936

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A consistent nonparametric test for nonlinear causality : specification in time series regression

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Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 27-44

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Testing conditional independence in macroeconomic policy evaluation for time series data

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A projective approach to conditional independence test for dependent processes

Zhou, Yeqing; Zhang, Yaowu; Zhu, Liping - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 398-407

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Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

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Intra-daily volatility spillovers in international stock markets

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Uniform convergence rate of the semiparametric density estimator and testing for similarity of two unknown densities

Kim, Kyoo Il - In: The econometrics journal 10 (2007) 1, pp. 1-34

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A simple asymtotic analysis of residual-based statistics

Andreou, Elena (contributor); Werker, Bas J. M. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001871037