Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/16665
Title: Multivariate Linear and Non-Linear Causality Tests with Applications
Authors: ZHANG BINGZHI
Keywords: Granger causality, U-statistics,Stock market segmentation
Issue Date: 8-Apr-2009
Source: ZHANG BINGZHI (2009-04-08). Multivariate Linear and Non-Linear Causality Tests with Applications. ScholarBank@NUS Repository.
Abstract: The traditional linear Granger test has been widely used to examine the linearcausality between any pair of time series. Hiemstra and Jones (1994) developeda nonlinear Granger causality test to investigate the nonlinear causality betweenstock prices and trading volume. In this thesis, we extend their work by developingboth linear and non-linear causality tests in multivariate settings instead of inpairwise context. We then apply the tests to identify the linear and non-linearmultivariate causality relationships among the indices of the Chinese segmentedstock markets.
URI: http://scholarbank.nus.edu.sg/handle/10635/16665
Appears in Collections:Master's Theses (Open)

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