Nonparametric tests for conditional independence using conditional distributions

DOI10.1080/10485252.2014.945447zbMath1329.62209MaRDI QIDQ2934399

Taoufik Bouezmarni, Abderrahim Taamouti

Publication date: 12 December 2014

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/13768/1/13768.pdf

zbMATH Keywords

time series; Nadaraya-Watson estimator; conditional independence; nonparametric tests; Granger non-causality; VIX volatility index; conditional distribution function; S\&P500 index

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H20: Measures of association (correlation, canonical correlation, etc.)

91B84: Economic time series analysis

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