Non-linear dependence and Granger causality: A vine copula approach
Non-linear dependence and Granger causality: A vine copula approach
Inspired by Jang et al. (2022), we propose a Granger causality-in-the-mean test for bivariate $k-$Markov stationary processes based on a recently introduced class of non-linear models, i.e., vine copula models. By means of a simulation study, we show that the proposed test improves on the statistical properties of the original …