Short-Run and Long-Rub Causality in Time Series: Theory

Jean‐Marie Dufour · Éric Renault

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

Causality in Granger's sense is defined in terms of predictibility one period ahead. The notion of causality is generalized by considering causality at any given horizon 1 (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract (This abstract was borrowed from another version of this item.)

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2013Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns 2008Granger-Causality in the presence of structural breaks 2011On the Interpretation of Causality in Granger’s Sense 2021Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices 2005DIRECT AND INDIRECT CAUSALITY BETWEEN EXPORTS AND ECONOMIC OUTPUT FOR BANGLADESH AND SRI LANKA: HORIZON MATTERS

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