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Some Theoretical and Simulation Results on the Frequency Domain Causality Test
8 references·1 citing·39 second hop
Some Theoretical and Simulation Results on the Frequency Domain Causality Test (2014)Some Theoretical and Simulation Results o…Commodity prices and inflation: Testing in the frequency domain (2011)Commodity prices and inflatio…Eurocurrency interest rate linkages: A frequency domain analysis (2010)Eurocurrency interest rate li…Measuring and testing Granger causality over the spectrum: An application to European production expectation surveys (2008)Measuring and testing Granger…Evidence of interdependence and contagion using a frequency domain framework (2008)Evidence of interdependence a…Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland (2007)Money growth, output gaps and…Testing for short- and long-run causality: A frequency-domain approach (2005)Testing for short- and long-r…The decomposition and measurement of the interdependency between second-order stationary processes (1991)The decomposition and measure…Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…Food inflation and monetary policy in emerging economies (2024)Food inflation and monetary p…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Is technological innovation making world "Greener"? An evidence from changing growth story of China (2020)The impact of technological innovation and public‐private partnership investment on sustainable environment in China: Consumption‐based carbon emissions analysis (2020)Do public-private partnerships in energy and renewable energy consumption matter for consumption-based carbon dioxide emissions in India? (2021)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Do renewable energy consumption and financial development matter for environmental sustainability? New global evidence (2020)Analyze the environmental sustainability factors of China: The role of fossil fuel energy and renewable energy (2022)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Enhancing monetary analysis (2010)Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain (2012)Impact of oil price risk on sectoral equity markets: Implications on portfolio management (2018)Statistical inference in vector autoregressions with possibly integrated processes (1995)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey (2015)An empirical analysis of the relationship between oil prices and the Chinese macro-economy (2016)Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case (2020)Comparing alternative tests of causality in temporal systems (1983)Consciousness and Complexity (1998)Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Facts and Fantasies about Commodity Futures (2006)Information transmission across currency futures markets: Evidence from frequency domain tests (2011)Oil price–inflation pass-through in Romania during the inflation targeting regime (2016)Is autonomous demand really autonomous in the United States? An asymmetric frequency‐domain Granger causality approach (2021)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)The dynamic linkages between crude oil and natural gas markets (2016)Black swan events and safe havens: The role of gold in globally integrated emerging markets (2017)Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis (2019)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Crises and contagion in Asia Pacific — Islamic v/s conventional markets (2015)On the dynamic links between commodities and Islamic equity (2016)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
this work references cited by second hop

References

  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,056 cited
  • 2005Testing for short- and long-run causality: A frequency-domain approach945 cited
  • 1991The decomposition and measurement of the interdependency between second-order stationary processes348 cited
  • 2008Evidence of interdependence and contagion using a frequency domain framework174 cited
  • 2008Measuring and testing Granger causality over the spectrum: An application to European production expectation surveys108 cited
  • 2011Commodity prices and inflation: Testing in the frequency domain95 cited
  • 2007Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland65 cited
  • 2010Eurocurrency interest rate linkages: A frequency domain analysis58 cited

Cited by

  • 2024Food inflation and monetary policy in emerging economies14 cited

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