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A General Test for Non-linear Granger Causality: Bivariate Model
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Iowa State University and University of Wisconsin, Madison
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University of Wisconsin, Madison
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MIT Press, Cambridge, Mass
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Testing for Linear andNon-linear Granger Causality in the Stock Price-Volume Relation
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Non-linearity and endogeneity in macro-asset pricing
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University of Strathclyde and International Monetary Fund
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Hiemstra, C. and C.Kramer (1993) “Non-linearity and endogeneity in macro-asset pricing”, Working Paper, University of Strathclyde and International Monetary Fund.
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Chaos and non-linear dynamics: Application to financial markets
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Granger causality between the consumer and wholesale price indices
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Bureau of Labor Statistics and Securities and Exchange Commis-sion
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Jaditz, T and J.Jones (1993) “Granger causality between the consumer and wholesale price indices”, Working Paper, Bureau of Labor Statistics and Securities and Exchange Commis-sion.
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The International Crash of October 1987:Causality Tests
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Malliaris, A.G. and Jorge L. Urrutia (1992) “The International Crash of October 1987:Causality Tests”, Journal of Financial and Quantitative Analysis, vol. 27, no. 3, pp.353-364.
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