Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality Articles uri icon

authors

  • BOUEZMARNI, TAOUFIK
  • V.K. ROMBOUTS, JEROEN
  • TAAMOUTI, ABDERRAHIM

publication date

  • April 2012

start page

  • 275

end page

  • 287

issue

  • 2

volume

  • 30

International Standard Serial Number (ISSN)

  • 0735-0015

Electronic International Standard Serial Number (EISSN)

  • 1537-2707

keywords

  • bernstein density copula; bootstrap; conditional independence; granger noncausality; nonparametric tests; volatility asymmetry