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Money–Income Granger-Causality in Quantiles
16 references·11 citing·34 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2019American Economic Review10,902 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,205 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1980Testing for causality1,747 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited

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Cited by

  • 2013Is There Really Granger Causality between Energy Use and Output?91 cited
  • 2012Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality77 cited
  • 2014Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles70 cited
  • 2018Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach66 cited
  • 2022Investigating the nexus between green economy, sustainability, bitcoin and oil prices: Contextual evidence from the United States64 cited
  • 2018Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests56 cited
  • 2013Granger-causality in quantiles between financial markets: Using copula approach53 cited
  • 2023U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging32 cited
  • 2009Beyond the Central Tendency: Quantile Regression as a Tool in Quantitative Investing28 cited
  • 2023Stock Market Response to Quantitative Easing: Evidence from the Novel Rolling Windows Nonparametric Causality-in-Quantiles Approach25 cited
  • 2022Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization14 cited