Nonparametric estimation and inference for Granger causality measures Working Papers

authors

TAAMOUTI, ABDERRAHIM
BOUEZMARNI, TAOUFIK
EL GHOUCH, ANOUAR

publisher

Universidad Carlos III de Madrid. Departamento de Economía

publication date

2012

series title

UC3M Working papers. Economics

full text

http://hdl.handle.net/10016/14150

series number

12-12

subjects

Economics

keywords

causality measures; nonparametric estimation; time series; copulas; bernstein copula density; local bootstrap; conditional distribution function; stock returns