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On the Interpretation of Causality in Granger’s Sense
16 references·0 citing·39 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1979Forecasting Economic Time Series1,004 cited
  • 1998Financial Contagion Journal of Political Economy624 cited
  • 1977Causality in temporal systems600 cited
  • 1980Advertising and Aggregate Consumption: An Analysis of Causality548 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 2001Causality in Macroeconomics503 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 2009Granger causality in risk and detection of extreme risk spillover between financial markets358 cited
  • 2007Hunting Causes and Using Them: Approaches in Philosophy and Economics335 cited
  • 1998Short Run and Long Run Causality in Time Series: Theory290 cited

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  • 2008Some Recent Developments in a Concept of Causality251 cited
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