Testing for Granger causality in distribution tails: An application to oil markets integration

Author:

Candelon Bertrand,Joëts Marc,Tokpavi Sessi

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference49 articles.

1. International oil agreements;Adelman;The Energy Journal,1984

2. Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations;Ahn;Review of Financial Studies,2002

3. Crude oil price differentials and differences in oil qualities: a statistical analysis;Bacon,2005

4. Multivariate Granger causality and generalized variance;Barrett;Physical Review E,2010

5. Evaluating Value-at-Risk models with desk-level data;Berkowitz;Management Science,2011

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