A copula-based joint regression analysis including Granger causality
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Cites work
- A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables
- A new statistic and practical guidelines for nonparametric Granger causality testing
- A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion
- A review of copula models for economic time series
- A study of problems encountered in Granger causality analysis from a neuroscience perspective
- An introduction to copulas.
- Conditional expectation formulae for copulas
- Copula-based dynamic models for multivariate time series
- Copula-Based Regression Estimation and Inference
- Copula-based time series with filtered nonstationarity
- Elements of Copula Modeling with R
- Forecasting time series with multivariate copulas
- Granger causality
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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- scientific article; zbMATH DE number 6303738 (Why is no real title available?)
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Monitoring test for stability of copula parameter in time series
- Pair-copula constructions of multiple dependence
- Predictive assessment of copula models
- Quantitative risk management. Concepts, techniques and tools
- Time-varying copula models for financial time series
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