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An integrated vector error correction and directed acyclic graph method for investigating contemporaneous causalities
16 references·10 citing·32 second hop
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • 1997Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions454 cited
  • 2020Corn Cash Price Forecasting443 cited
  • 2003The structure of interdependence in international stock markets413 cited
  • 1998Impulse response and forecast error variance asymptotics in nonstationary VARs310 cited

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  • 2003Stock market integration and financial crises: the case of Asia307 cited
  • 2021Corn cash price forecasting with neural networks291 cited
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    • 2023Scrap steel price forecasting with neural networks for east, north, south, central, northeast, and southwest China and at the national level68 cited
    • 2025Bayesian-Optimized Gaussian Process Calibration for Forecasting Carbon Allowance Prices in Tianjin62 cited
    • 2023Office property price index forecasting using neural networks56 cited
    • 2025Predicting Scrap Steel Prices Through Machine Learning for South China42 cited
    • 2025Machine learning predictions of China commodity price indices41 cited
    • 2024Steel price index forecasts through machine learning for northwest China39 cited