Testing Granger non-causality in expectiles

DOI10.1080/07474938.2023.2246823MaRDI QIDQ6544903zbMATH OpenFDO

Authors Taoufik Bouezmarni, Mohamed Doukali, Abderrahim Taamouti

Publication date 28 May 2024

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Coherence and elicitability
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• Expectile asymptotics
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• Generalized quantiles as risk measures
• Geoadditive expectile regression
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Measuring Granger Causality in Quantiles
• Measuring Nonlinear Granger Causality in Mean
• Money-income Granger-causality in quantiles
• Nonparametric estimation and inference for conditional density based Granger causality measures
• Nonparametric tests for conditional independence using conditional distributions
• On confidence intervals for semiparametric expectile regression
• Optimal expectile smoothing
• Quantile regression.
• Short and long run causality measures: theory and inference
• Statistical inference for expectile-based risk measures
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Testing for Granger-causality in quantiles

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