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https://doi.org/10.1016/j.matcom.2010.06.008
| Title: | Multivariate linear and nonlinear causality tests | Authors: | Bai, Z. Wong, W.-K. Zhang, B. |
Keywords: | Linear Granger causality Nonlinear Granger causality U-statistics |
Issue Date: | Sep-2010 | Citation: | Bai, Z., Wong, W.-K., Zhang, B. (2010-09). Multivariate linear and nonlinear causality tests. Mathematics and Computers in Simulation 81 (1) : 5-17. ScholarBank@NUS Repository. https://doi.org/10.1016/j.matcom.2010.06.008 | Abstract: | The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones [19] develop a nonlinear Granger causality test in bivariate settings to investigate the nonlinear causality between stock prices and trading volume. This paper extends their work by developing a nonlinear causality test in multivariate settings. © 2010 IMACS. | Source Title: | Mathematics and Computers in Simulation | URI: | http://scholarbank.nus.edu.sg/handle/10635/105233 | ISSN: | 03784754 | DOI: | 10.1016/j.matcom.2010.06.008 |
| Appears in Collections: | Staff Publications |
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