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frequency domain Granger causality
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REVISITING THE FINANCIAL VOLATILITY–DERIVATIVE PRODUCTS RELATIONSHIP ON
EURONEXT
.LIFFE USING A FREQUENCY DOMAIN ANALYSIS
ALBULESCU, CLAUDIU TIBERIU
;
Goyeau, Daniel
;
TIWARI, …
- In:
Brussels Economic Review
56
(
2013
)
3-4
,
pp. 349-364
the
Euronext
.liffe. We employ a frequency domainanalysis to identify the direction of the causality. In addition, we test …
Persistent link: https://www.econbiz.de/10011015295
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