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Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets · Study

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ArticleTesting for the Granger-causality between returns in the U.S. and GIPSI stock markets

Khamis Hamed Al‐Yahyaee2019

Article2019

Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets

Khamis Hamed Al‐Yahyaee · Walid Mensi · Idries Mohammad Wanas Al-Jarrah · Aviral Kumar Tiwari

15 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 2002Financial market integration in Europe: on the effects of EMU on stock markets 2008Kernel Method for Nonlinear Granger Causality 2013Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI 1998Linkages between the US and European equity markets: further evidence from cointegration tests 2013Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?

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Year2019

Typearticle

Published2019-04-10

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations15

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2019.04.186

openalex_workW2936180197

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