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)

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zbMATH Keywords

nonlinear causalityvolatility persistencecurrency futures

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

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Cited In (6)

• Further analysis of spurious causality
• Market-dependent causality between futures and spot
• Did speculative activities contribute to high crude oil prices during 1993 to 2008?
• Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
• 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

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