The mutual causality analysis between the stock and futures markets
type: Item
instance of: scholarly article
title: The mutual causality analysis between the stock and futures markets
zbMATH Open document ID: 1400.91255
author: Qing-Wen Lin
author: Can-Zhong Yao
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B44
zbMATH DE Number: 6979173
zbMATH Keywords: Granger causality
zbMATH Keywords: conditional Granger causality
zbMATH Keywords: information flow
zbMATH Keywords: direct information flow
zbMATH Keywords: asymmetric ratio
zbMATH Keywords: bootstrap technique
MaRDI profile type: Publication
full work available at URL: j.physa.2017.02.071
OpenAlex ID: W2593760026
cites work: Investigating Causal Relations by Econometric Models and Cross-spectral Methods
cites work: Q5326836
cites work: Q4840212
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Fitting autoregressive models for prediction
cites work: Measurement of Linear Dependence and Feedback Between Multiple Time Series
DOI: 10.1016/J.PHYSA.2017.02.071
description: scientific article; zbMATH DE number 6979173