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The rolling causal structure between the Chinese stock index and futures · Study

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ArticleThe rolling causal structure between the Chinese stock index and futures

Xiaojie Xu2017

Article2017

The rolling causal structure between the Chinese stock index and futures

91 citations·0/0 files stored·Financial markets and portfolio management

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1994Comparing Predictive Accuracy

Cited by

2024Pre-owned housing price index forecasts using Gaussian process regressions 2024Contemporaneous causality among price indices of ten major steel products 2025Predictions of residential property price indices for China via machine learning models 2018Contemporaneous and Granger causality among US corn cash and futures prices 2023An integrated vector error correction and directed acyclic graph method for investigating contemporaneous causalities

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Details

Year2017

Typearticle

Published2017-10-19

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations91

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s11408-017-0299-7

openalex_workW2765358053

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2022NETWORK ANALYSIS OF HOUSING PRICE COMOVEMENTS OF A HUNDRED CHINESE CITIES

2022Steel price index forecasting through neural networks: the composite index, long products, flat products, and rolled products

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