Inglesi-Lotz, Roula; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013
constant relationship through the years, we use bootstrapped Granger non-causality tests with fixed-size rolling-window to … analyze time-varying causal links between two series. Instead of just performing causality tests on the full sample which … assumes a single causality relationship, we also perform Granger causality tests on the rolling sub-samples with a fixed …