Nonlinear Granger causality in the currency futures returns

DOI10.1016/S0165-1765(00)00219-6MaRDI QIDQ1978726zbMATHFDO

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

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

nonlinear causalityvolatility persistencecurrency futures

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(9)

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

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