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https://doi.org/10.1016/j.spl.2011.02.031
| Title: | Multivariate causality tests with simulation and application | Authors: | Bai, Z. Li, H. Wong, W.-K. Zhang, B. |
Keywords: | Linear Granger causality Nonlinear Granger causality Simulation Stock markets U-statistics |
Issue Date: | Aug-2011 | Citation: | Bai, Z., Li, H., Wong, W.-K., Zhang, B. (2011-08). Multivariate causality tests with simulation and application. Statistics and Probability Letters 81 (8) : 1063-1071. ScholarBank@NUS Repository. https://doi.org/10.1016/j.spl.2011.02.031 | Abstract: | This paper extends the test established by Hiemstra and Jones (1994) to develop a nonlinear causality test in a multivariate setting. A Monte Carlo simulation is conducted to demonstrate the superiority of our proposed multivariate test over its bivariate counterpart. In addition, we illustrate the applicability of our proposed test for analyzing the relationships among different Chinese stock market indices. © 2011 Elsevier B.V. | Source Title: | Statistics and Probability Letters | URI: | http://scholarbank.nus.edu.sg/handle/10635/105232 | ISSN: | 01677152 | DOI: | 10.1016/j.spl.2011.02.031 |
| Appears in Collections: | Staff Publications |
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