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},
  }