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A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion

Bertrand Candelon 1 Sessi Tokpavi 1, 2
1 LEO - Laboratoire d'Économie d'Orleans [UMR7322]
2 EconomiX
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https://hal-univ-orleans.archives-ouvertes.fr/hal-03528203
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Submitted on : Monday, January 17, 2022 - 10:29:08 AM
Last modification on : Tuesday, April 26, 2022 - 10:12:02 AM

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UNIV-ORLEANS | LEO | UNIV-TOURS | CNRS | UNIV-PARIS-LUMIERES | ECONOMIX | UNIV-PARIS-NANTERRE

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Bertrand Candelon, Sessi Tokpavi. A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion. Journal of Business and Economic Statistics, Taylor & Francis, 2016, 34 (2), pp.240-253. ⟨10.1080/07350015.2015.1026774⟩. ⟨hal-03528203⟩

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