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Lag length selection and Granger causality
2 references·1 citing·12 second hop
Lag length selection and Granger causality (1984)Lag length selection and Granger causalityAtheoretical macroeconometrics: A critique (1985)Atheoretical macroeconometric…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors (2013)Informed Trading, Flow Toxici…Specification Tests in Econometrics (1978)Macroeconomics and Reality (1980)Alternative Explanations of the Money-Income Correlation (1986)The Economic Effects of Energy Price Shocks (2008)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity, Information, and Infrequently Traded Stocks (1996)Is Information Risk a Determinant of Asset Returns? (2002)VPIN, liquidity, and return volatility in the U.S. equity markets (2019)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 1985Atheoretical macroeconometrics: A critique714 cited

Cited by

  • 2013Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors16 cited

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