The mutual causality analysis between the stock and futures markets

DOI10.1016/J.PHYSA.2017.02.071zbMath1400.91255OpenAlexW2593760026MaRDI QIDQ1620652

Qing-Wen Lin, Can-Zhong Yao

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.02.071

zbMATH Keywords

Granger causalityinformation flowconditional Granger causalitybootstrap techniqueasymmetric ratiodirect information flow

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economics of information (91B44)

Related Items (1)

Stock price fluctuation prediction method based on time series analysis

Cites Work

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• Fitting autoregressive models for prediction
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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