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A consistent nonparametric test for nonlinear causality—Specification in time series regression
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this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,056 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1993Vector Autoregressions and Causality867 cited

Cited by

  • 2018Geopolitical risks and stock market dynamics of the BRICS485 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques397 cited
  • 2016The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method337 cited
  • 2016Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test336 cited
  • 2021Environmental cost of non-renewable energy and economic progress: Do ICT and financial development mitigate some burden?273 cited
  • 2019Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?256 cited
  • 2022Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change219 cited

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  • 2016Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test199 cited
  • 2023RETRACTED: Exploring the dynamic connectedness among energy transition and its drivers: Understanding the moderating role of global geopolitical risk192 cited
  • 2018Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note172 cited
  • 2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?148 cited
  • 2017Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach145 cited
  • 2018Does economic policy uncertainty influence gold prices? Evidence from a nonparametric causality-in-quantiles approach144 cited
  • 2023Dynamic effect of Bitcoin, fintech and artificial intelligence stocks on eco-friendly assets, Islamic stocks and conventional financial markets: Another look using quantile-based approaches140 cited
  • 2020Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach130 cited
  • 2021Disaggregated renewable energy sources in mitigating CO2 emissions: new evidence from the USA using quantile regressions126 cited