Agenda

25 Feb 2026 12:15

Alexander Mayer (Rotterdam University)

Meeting Room 1, San Giobbe Economics Campus + online

Alexander Mayer (Rotterdam University) - Break robust testing for Granger causality in copulas

Abstract:
We propose a test for Granger causality in copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible AR-GARCH type dynamics in the marginal time series and remains agnostic with respect to the copula family by leveraging distributional regression techniques together with a local Gaussian representation of the copula link function. We derive the limiting distribution of our test statistic and propose a resampling scheme based on recent results for the moving-block bootstrap of multi-stage estimators.  Monte Carlo simulations and an empirical application illustrate the finite-sample performance of our methods.

 

The seminar can be attended also remotely, connecting to ZOOM.

Link Zoom: bit.ly/insem-2425
ID riunione:  880 2639 9452
Passcode: InSem-2425

Lingua

L'evento si terrà in inglese

Organizzatore

Department of Economics (InSeminars)

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