Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests

Journal of International Money and Finance

Volumn 26, Issue 1, 2007, Pages 86-103

  Wang, Zijun ^a   Yang, Jian ^b,c   Li, Qi ^a,d  

^a TEXAS A AND M UNIVERSITY   (United States)

^b PRAIRIE VIEW A AND M UNIVERSITY   (United States)

^c SUN YAT SEN UNIVERSITY   (China)

^d TSINGHUA UNIVERSITY   (China)

Author keywords

Contemporaneous correlation; Directed acyclic graphs; Forecasting evaluation; Granger causality; Interest rate linkages

Indexed keywords

EID: 33846503278     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2006.10.005     Document Type: Article

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