Is there a symmetric nonlinear causal relationship between large and small firms?

Journal of Empirical Finance

Volumn 17, Issue 1, 2010, Pages 23-38

  Francis, Bill B ^a   Mougoué, Mbodja ^b   Panchenko, Valentyn ^c  

^a RENSSELAER POLYTECHNIC INSTITUTE   (United States)

^b WAYNE STATE UNIVERSITY   (United States)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

BEKK asymmetric GARCH; Large firms; Linear causality; Nonlinear causality; Small firms

Indexed keywords

EID: 71349084719     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2009.08.003     Document Type: Article

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