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A Copula Nonlinear Granger Causality · Study

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ArticleA Copula Nonlinear Granger Causality

Jong‐Min Kim2019

Article2019

A Copula Nonlinear Granger Causality

Jong‐Min Kim · Namgil Lee · Sun Young Hwang

28 citations·0/0 files stored·Economic Modelling

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Financial Risk and Volatility Modeling Spatial and Panel Data Analysis Complex Systems and Time Series Analysis

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1999An Introduction to Copulas 1980Testing for causality 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 2006A new statistic and practical guidelines for nonparametric Granger causality testing 2005A Note on the Hiemstra-Jones Test for Granger Non-causality 2012Gaussian copula marginal regression 2011Dynamic Copula Methods in Finance

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Year2019

Typearticle

Published2019-10-05

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2019.09.052

openalex_workW2979185378

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