Nonlinear Granger Causality in Mean Conference Contributions uri icon

authors

  • TAAMOUTI, ABDERRAHIM
  • SONG, XIAOJUN

event

  • XXXVIII Simposio de la Asociación Española de Economía-Spanish Economic Association
    (SAEe). Santander ( 12 -14 December 2013)

event place

  • SANTANDER

participation category

  • COMUNICACIÓN

publication date

  • 2013

keywords

  • granger causality measures; nonlinear causality in mean; nonparametric estimation; time series; bootstrap; volatility index; realized volatility; variance risk premium; risk premium