We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...

We propose a semi-parametric approach for testing orthogonality and causality between two infinite-order co-integrated vector auto-regressive IVAR(1) series. The procedures considered can be viewed as extensions of classical methods proposed by Haugh (1976, JASA) and Hong (1996, Biometrika) for...

Dynamic relationship between CSI 300 futures and Shanghai Composite Index will be explored in this paper based on five-minute high frequency data from 16th, April, 2010 to 31st, December, 2012. First of all, we found that index futures and its cash market exhibit a long-run equilibrium by...