Nonlinear Granger causality in the currency futures returns

DOI10.1016/S0165-1765(00)00219-6zbMATH Open0953.91053MaRDI QIDQ1978726FDOQ1978726

Authors: I. Asimakopoulos, D. Ayling, W. Mansor Mahmood 

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

Recommendations

• Granger type causality for nonlinear data
• Testing for linear and nonlinear Granger causality in the real exchange rate-consumption relation
• Multivariate linear and nonlinear causality tests
• A consistent nonparametric test for nonlinear causality -- specification in time series regression
• Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study

zbMATH Keywords

nonlinear causalityvolatility persistencecurrency futures

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)

Cited In (9)

• Further analysis of spurious causality
• The mutual causality analysis between the stock and futures markets
• Market-dependent causality between futures and spot
• Did speculative activities contribute to high crude oil prices during 1993 to 2008?
• Linear and non-linear Granger causality between short-term and long-term interest rates: a rolling window strategy
• Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
• Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns
• Diverse causality inference in foreign exchange markets
• Testing for linear and nonlinear Granger causality in the real exchange rate-consumption relation

This page was built for publication: Nonlinear Granger causality in the currency futures returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1978726)