# --------------------------------------------
# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
# --------------------------------------------
 
cff-version: 1.2.0
message: 'To cite package "mqqcause" in publications use:'
type: software
license: GPL-3.0-only
title: 'mqqcause: Multivariate Quantile-on-Quantile Granger Causality'
version: 1.0.0
identifiers:
- type: doi
  value: 10.32614/CRAN.package.mqqcause
abstract: Implements bivariate and Multivariate Quantile-on-Quantile Granger causality
  tests building on the Quantile-on-Quantile regression framework of Sim and Zhou
  (2015) <https://doi.org/10.1016/j.jbankfin.2015.01.013> and the quantile Granger
  causality test of Troster (2018) <https://doi.org/10.1080/07474938.2016.1172400>.
  The bivariate test estimates the local-linear slope in the quantile regression of
  y_t on lagged x_t with lagged y_t as control, using Gaussian kernel weights, and
  tests it against zero by paired bootstrap. The multivariate (conditional) test additionally
  conditions on a set of moderators Z and optional x times Z interaction terms, in
  the spirit of Sinha, Ghosh, Hussain, Nguyen and Das (2023) <https://doi.org/10.1016/j.eneco.2023.107021>.
  A Sup-Wald summary across the quantile grid is also provided. Heatmaps and 3D surfaces
  default to the 'MATLAB' 'Parula' colour map.
authors:
- family-names: Roudane
  given-names: Merwan
  email: merwanroudane920@gmail.com
preferred-citation:
  type: manual
  title: 'mqqcause: Multivariate Quantile-on-Quantile Granger Causality'
  authors:
  - family-names: Roudane
    given-names: Merwan
    email: merwanroudane920@gmail.com
  year: '2026'
  notes: R package version 1.0.0
  url: https://github.com/merwanroudane/qqcaus
repository: https://merwanroudane.r-universe.dev
repository-code: https://github.com/merwanroudane/qqcaus
commit: a2b28b30259b69ae401f36d0f98cb383247e9165
url: https://github.com/merwanroudane/qqcaus
date-released: '2026-06-01'
contact:
- family-names: Roudane
  given-names: Merwan
  email: merwanroudane920@gmail.com
references:
- type: article
  title: Oil Prices, US Stock Return, and the Dependence Between Their Quantiles
  authors:
  - family-names: Sim
    given-names: Nicholas
  - family-names: Zhou
    given-names: Hongtao
  journal: Journal of Banking and Finance
  year: '2015'
  volume: '55'
  doi: 10.1016/j.jbankfin.2015.01.013
  start: '1'
  end: '12'
- type: article
  title: Testing for Granger-causality in Quantiles
  authors:
  - family-names: Troster
    given-names: Victor
  journal: Econometric Reviews
  year: '2018'
  volume: '37'
  issue: '8'
  doi: 10.1080/07474938.2016.1172400
  start: '850'
  end: '866'