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To cite mqqcause in publications, please use:
Roudane M (2026). mqqcause: Multivariate Quantile-on-Quantile Granger Causality. R package version 1.0.0, https://github.com/merwanroudane/qqcaus.
Sim N, Zhou H (2015). “Oil Prices, US Stock Return, and the Dependence Between Their Quantiles.” Journal of Banking and Finance, 55, 1–12. doi:10.1016/j.jbankfin.2015.01.013.
Troster V (2018). “Testing for Granger-causality in Quantiles.” Econometric Reviews, 37(8), 850–866. doi:10.1080/07474938.2016.1172400.
Corresponding BibTeX entries:
@Manual{,
title = {mqqcause: Multivariate Quantile-on-Quantile Granger
Causality},
author = {Merwan Roudane},
year = {2026},
note = {R package version 1.0.0},
url = {https://github.com/merwanroudane/qqcaus},
}
@Article{,
title = {Oil Prices, US Stock Return, and the Dependence Between
Their Quantiles},
author = {Nicholas Sim and Hongtao Zhou},
journal = {Journal of Banking and Finance},
year = {2015},
volume = {55},
pages = {1--12},
doi = {10.1016/j.jbankfin.2015.01.013},
}
@Article{,
title = {Testing for Granger-causality in Quantiles},
author = {Victor Troster},
journal = {Econometric Reviews},
year = {2018},
volume = {37},
number = {8},
pages = {850--866},
doi = {10.1080/07474938.2016.1172400},
}
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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