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Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data
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Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data (2015)Detecting Causality in Non-stationary Tim…Simulation Study of Direct Causality Measures in Multivariate Time Series (2013)Simulation Study of Direct Ca…Risk, uncertainty and monetary policy (2013)Risk, uncertainty and monetar…New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)New Evidence on the Interest …How Does Liquidity Affect Government Bond Yields? (2009)How Does Liquidity Affect Gov…Symbolic Transfer Entropy (2008)Symbolic Transfer EntropyMultiple Time Series Models (2007)Multiple Time Series ModelsFiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries (2007)Fiscal Discipline and the Cos…A new statistic and practical guidelines for nonparametric Granger causality testing (2006)A new statistic and practical…Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries (2004)Fiscal Discipline and the Cos…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Measures of Conditional Linear Dependence and Feedback Between Time Series (1984)Measures of Conditional Linea…Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…A NEW MEASURE OF RANK CORRELATION (1938)A NEW MEASURE OF RANK CORRELA…The Proof and Measurement of Association between Two Things (1904)The Proof and Measurement of …Causal carbon price interval prediction using lower upper bound estimation combined with asymmetric multi-objective evolutionary algorithm and long short-term memory (2023)Causal carbon price interval …MONEY, INCOME, AND CAUSALITY (1972)Comparing alternative tests of causality in temporal systems (1983)Consciousness and Complexity (1998)Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A test for independence based on the correlation dimension (1996)Causality detection based on information-theoretic approaches in time series analysis (2007)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Parsimonious Modeling of Yield Curves (1987)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Debt and growth: New evidence for the euro area (2012)The Econometrics of Financial Markets (2012)Public debt and economic growth: Is there a causal effect? (2014)Public debt and growth: Heterogeneity and non-linearity (2015)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)The Impact of Uncertainty Shocks (2009)The VIX, the variance premium and stock market volatility (2014)Economic policy uncertainty: A literature review (2019)U.S. Monetary Policy and the Global Financial Cycle (2020)An effect size primer: A guide for clinicians and researchers. (2009)Comparison of Values of Pearson's and Spearman's Correlation Coefficients on the Same Sets of Data (2011)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The role of exchange rates in a popular model of international trade (1991)Export-led growth: a survey of the empirical literature and some non-causality results. Part 1 (2000)Strengthening the Reporting of Observational Studies in Epidemiology (STROBE): Explanation and Elaboration (2007)A basic introduction to fixed-effect and random-effects models for meta-analysis (2010)Strengthening the Reporting of Observational Studies in Epidemiology (STROBE): Explanation and elaboration (2014)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)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)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1904The Proof and Measurement of Association between Two Things8,010 cited
  • 1938A NEW MEASURE OF RANK CORRELATION7,315 cited
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  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2013Risk, uncertainty and monetary policy1,237 cited
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  • 1984Measures of Conditional Linear Dependence and Feedback Between Time Series769 cited
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  • 2008Symbolic Transfer Entropy596 cited
  • 2009How Does Liquidity Affect Government Bond Yields?342 cited
  • 2007Multiple Time Series Models287 cited
  • 2007Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries267 cited
  • 2013Simulation Study of Direct Causality Measures in Multivariate Time Series

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103 cited
  • 2004Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries99 cited
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    • 2023Causal carbon price interval prediction using lower upper bound estimation combined with asymmetric multi-objective evolutionary algorithm and long short-term memory37 cited