A Projection-Based Nonparametric Test of Conditional Quantile Independence

DOI10.1080/07474938.2019.1690192zbMath1490.62111OpenAlexW611005076MaRDI QIDQ5860974

Milan Nedeljkovic

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2019.1690192

zbMATH Keywords

stochastic processesdimension reductionconditional independenceconditional quantilesnonparametric testssystemic riskU-statisticbanks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Uses Software

• CAViaR

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