Time-varying causality between equity and currency returns in the United Kingdom: evidence from over two centuries of data

DOI10.1016/J.PHYSA.2018.05.037OpenAlexW2786546290WikidataQ129766243 ScholiaQ129766243MaRDI QIDQ2149769

Patrick Kanda, Rangan Gupta, Michael E. Burke

Publication date: 29 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2018.05.037

zbMATH Keywords

currency returnsequity returnstime-varying Granger causality

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• JIDT

This page was built for publication: Time-varying causality between equity and currency returns in the United Kingdom: evidence from over two centuries of data