Measuring Nonlinear Granger Causality in Mean
From MaRDI portal
Cites work
- A consistent nonparametric test for nonlinear causality -- specification in time series regression
- A nonparametric test for equality of distributions with mixed categorical and continuous data
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- Bandwidth selection in nonparametric kernel testing
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- scientific article; zbMATH DE number 3221828 (Why is no real title available?)
- scientific article; zbMATH DE number 3222478 (Why is no real title available?)
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Long memory in continuous-time stochastic volatility models
- Measurement of Linear Dependence and Feedback Between Multiple Time Series
- Measures of Conditional Linear Dependence and Feedback Between Time Series
- Nonparametric estimation and inference for conditional density based Granger causality measures
- Root-N-Consistent Semiparametric Regression
- Short and long run causality measures: theory and inference
- The Distribution of Realized Exchange Rate Volatility
- The local bootstrap for kernel estimators under general dependence conditions
- Variance estimation for high-dimensional regression models
This page was built for publication: Measuring Nonlinear Granger Causality in Mean
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6623184)
