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Multivariate linear and nonlinear causality tests · Study

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ArticleMultivariate linear and nonlinear causality tests

Zhidong Bai2010

OA

Articlegreen2010

Multivariate linear and nonlinear causality tests

Zhidong Bai · Wing‐Keung Wong · Bingzhi Zhang

118 citations·0/0 files stored·Mathematics and Computers in Simulation

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 118 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1980Macroeconomics and Reality 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 1996A test for independence based on the correlation dimension 1993Introduction to Multiple Time Series Analysis 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION

Cited by

2015Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests 2019The Impact of Foreign Direct Investment on Environment Degradation: Evidence from Emerging Markets in Asia 2016Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests 2018A new test of multivariate nonlinear causality 2020Review on Efficiency and Anomalies in Stock Markets 2011Test statistics for prospect and Markowitz stochastic dominances with applications 2015Nonlinear Granger Causality: Guidelines for Multivariate Analysis 2012A New Pseudo-Bayesian Model with Implications for Financial Anomalies and Investors’ Behavior

Details

Year2010

Typearticle

Published2010-07-14

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations118

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.matcom.2010.06.008

openalex_workW2040247608

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