A Consistent Nonparametric Test for Causality in Quantile



SFB 649 Discussion Paper Series 2008

For a complete list of Discussion Papers published by the SFB 649,
please visit
http://sfb649.wiwi.hu-berlin.de.

001 "Testing Monotonicity of Pricing Kernels" by Yuri Golubev, Wolfgang
Hardle and Roman Timonfeev, January 2008.

002 "Adaptive pointwise estimation in time-inhomogeneous time-series
models" by Pavel Cizek, Wolfgang Hardle and Vladimir Spokoiny,
January 2008.

003 "The Bayesian Additive Classification Tree Applied to Credit Risk
Modelling" by Junni L. Zhang and Wolfgang Hardle, January 2008.

004 "Independent Component Analysis Via Copula Techniques" by Ray-Bing
Chen, Meihui Guo, Wolfgang Hardle and Shih-Feng Huang, January
2008.

005 "The Default Risk of Firms Examined with Smooth Support Vector
Machines" by Wolfgang Hardle, Yuh-Jye Lee, Dorothea Schafer
and Yi-Ren Yeh, January 2008.

006 "Value-at-Risk and Expected Shortfall when there is long range
dependence" by Wolfgang Hardle and Julius Mungo, Januray 2008.

007 "A Consistent Nonparametric Test for Causality in Quantile" by
Kiho Jeong and Wolfgang Hardle, January 2008.

SFB 649, Spandauer Straβe 1, D-10178 Berlin
http://sfb649.wiwi.hu-berlin.de


This research was supported by the Deutsche
Forschungsgemeinschaft through the SFB 649 "Economic Risk".



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