Testing Granger non-causality in expectiles
Author:
Affiliation:
1. Département de Mathématiques, Université de Sherbrooke, CIREQ, CREAS, Sherbrooke, Quebec, Canada
2. Department of Economics, University of Liverpool Management School, Liverpool, UK.
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2023.2246823
Reference54 articles.
1. Relating quantiles and expectiles under weighted-symmetry
2. Stock return autocorrelations revisited: A quantile regression approach
3. Risk management with expectiles
4. Generalized quantiles as risk measures
5. Generalized autoregressive conditional heteroskedasticity
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