Parametric and nonparametric Granger causality testing: Linkages between international stock markets

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 11, 2008, Pages 2547-2560

  De Gooijer, Jan G ^a   Sivarajasingham, Selliah ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY OF PERADENIYA   (Sri Lanka)

Author keywords

GARCH BEKK; Granger causality; Hypothesis testing; Nonparametric; Stock market linkages

Indexed keywords

FINANCIAL DATA PROCESSING; NONLINEAR ANALYSIS; STATISTICAL METHODS;

FINANCIAL CRISIS; NONPARAMETRIC GRANGER CAUSALITY TESTING; STOCK MARKET LINKAGES; STOCK MARKETS;

ECONOMIC ANALYSIS;

EID: 39549088493     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.01.033     Document Type: Article

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