New nonparametric measures for instantaneous and granger-causality tail co-dependence

DOI10.1080/02664763.2022.2138837MaRDI QIDQ6547155zbMATH OpenFDO

Authors Cees Diks, Marcin Wolski

Publication date 30 May 2024

Published in Journal of Applied Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 837911 (Why is no real title available?)
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• On dependence consistency of CoVaR and some other systemic risk measures
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• Testing Conditional Independence Restrictions
• Testing conditional independence via empirical likelihood

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