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Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?
Abeysinghe, Tilak - 2017
causal inference and systematic sampling of stationary variables preserves the direction of causality. This paper examines … spurious causality. In particular, systematic sampling induces spurious bi-directional Granger causality among the variables if … the uni-directional causality runs from a non-stationary series to either a stationary or a non-stationary series. On the …
Persistent link: https://www.econbiz.de/10012964296
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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Effectiveness of volatility models in option pricing : evidence from recent financial upheavals
Singh, Vipul Kumar - In: Journal of advances in management research : JAMR 10 (2013) 3, pp. 352-375
Persistent link: https://www.econbiz.de/10010206639
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Information theoretic causality detection between financial and sentiment data
Scaramozzino, Roberta; Cerchiello, Paola; Aste, Tomaso - 2021
Persistent link: https://www.econbiz.de/10012887631
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Finance and growth : time series evidence on causality
Peia, Oana; Roszbach, Kasper - In: Journal of financial stability 19 (2015), pp. 105-118
Persistent link: https://www.econbiz.de/10011574251
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Time series analysis among tourism, financial development, FDI and economic growth in Jordan
Omoush, Muthana Mohammad - In: International journal of economics and finance 10 (2018) 12, pp. 150-162
Persistent link: https://www.econbiz.de/10011961560
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Detecting causality in non-stationary time series using partial symbolic transfer entropy : evidence in financial data
Papana, Angeliki; Kyrtsou, Catherine; Kugiumtzis, Dimitris - In: Computational economics 47 (2016) 3, pp. 341-365
Persistent link: https://www.econbiz.de/10011712376
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The role of the financial sector in the UK economy : evidence from a seasonal cointegration analysis
Fethi, Sami; Katırcıoğlu, Salih Turan - In: Economic research 28 (2015) 1, pp. 717-737
Persistent link: https://www.econbiz.de/10012220924
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Investor sentiment and stock prices in the subprime mortgage crisis
Wolff, Alexander F. - In: Applied financial economics 23 (2013) 16/18, pp. 1301-1309
Persistent link: https://www.econbiz.de/10010259458