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