Multivariate linear and nonlinear causality tests

Mathematics and Computers in Simulation

Volumn 81, Issue 1, 2010, Pages 5-17

  Bai, Zhidong ^a,b   Wong, Wing Keung ^c   Zhang, Bingzhi ^d  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^d Columbia University ^*  (United States)

Author keywords

Linear Granger causality; Nonlinear Granger causality; U statistics

Indexed keywords

BIVARIATE; GRANGER CAUSALITY; GRANGER CAUSALITY TEST; NONLINEAR CAUSALITY TEST; STOCK PRICE; TRADING VOLUMES; U-STATISTICS;

TIME SERIES;

EID: 77956268974     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2010.06.008     Document Type: Article

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