Measuring Nonlinear Granger Causality in Mean

Nonparametric estimation and inference for conditional density based Granger causality measures

(2014) Abderrahim Taamouti et al.   JOURNAL OF ECONOMETRICS

Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions

(2012) Qi Li et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

A consistent nonparametric test for nonlinear causality—Specification in time series regression

(2011) Yoshihiko Nishiyama et al.   JOURNAL OF ECONOMETRICS

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

(2010) Tim Bollerslev et al.   JOURNAL OF ECONOMETRICS

Short and long run causality measures: Theory and inference

(2009) Jean-Marie Dufour et al.   JOURNAL OF ECONOMETRICS

Bandwidth Selection in Nonparametric Kernel Testing

(2009) Jiti Gao et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

A nonparametric test for equality of distributions with mixed categorical and continuous data

(2008) Qi Li et al.   JOURNAL OF ECONOMETRICS