prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We …

causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures …

We propose a semiparametric approach for testing orthogonality and causality between two infinite-order cointegrated … correlation between the shocks in both countries, and indicate a unidirectional Granger causality running from the U.S. variables …