Multivariate causality tests with simulation and application

DOI10.1016/J.SPL.2011.02.031zbMath1219.62094OpenAlexW3125291388MaRDI QIDQ553011

Wing-Keung Wong, Heng Li, Bingzhi Zhang, Zhi-Dong Bai

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.02.031

zbMATH Keywords

simulation\(U\)-statisticsstock marketsnonlinear Granger causalitylinear Granger causality

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Related Items (3)

Do both demand-following and supply-leading theories hold true in developing countries? ⋮ Identification of stock market forces in the system adaptation framework ⋮ Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models

Cites Work

• New evidence on the relation between return volatility and trading volume
• Approximation Theorems of Mathematical Statistics
• On U-statistics and v. mise? statistics for weakly dependent processes
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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