Nonparametric copula-based test for conditional independence with applications to granger causality

Journal of Business and Economic Statistics

Volumn 30, Issue 2, 2012, Pages 275-287

  Bouezmarni, Taoufik ^a   Rombouts, Jeroen V K ^b   Taamouti, Abderrahim ^c  

^a UNIVERSITÉ DE SHERBROOKE   (Canada)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^c UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Bernstein density copula; Bootstrap; Conditional independence; Granger noncausality; Nonparametric tests; Volatility asymmetry

Indexed keywords

EID: 84861905052     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2011.638831     Document Type: Article

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