A nonparametric copula based test for conditional independence with applications to Granger causality

Taoufik Bouezmarni, Jeroen Rombouts and Abderrahim Taamouti

No 2009041, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Keywords: nonparametric tests; conditional independence; Granger non-causality; Bernstein density copula; bootstrap; finance; volatility asymmetry; leverage effect; volatility feedback effect; macroeconomics (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 C19 E3 E4 E52 G1 G12 (search for similar items in EconPapers)
Date: 2009-06-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp2009.html (application/pdf)

Related works:
Journal Article: Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality (2011)
Working Paper: A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality (2009)
Working Paper: A nonparametric copula based test for conditional independence with applications to granger causality (2009)
Working Paper: A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2009041

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().