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Testing for granger causality in the presence of chaotic dynamics

Hristu-Varsakelis, Dimitrios; Kyrtsou, Catherine - In: Brussels economic review 53 (2010) 2, pp. 323-327

Persistent link: https://www.econbiz.de/10009241071

Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns

Hristu-Varsakelis, Dimitrios; Kyrtsou, Catherine - In: Inventi impact: emerging economies (2012) 1, pp. 21-27

Persistent link: https://www.econbiz.de/10009623029

Evidence for chaotic dependence between US inflation and commodity prices

Kyrtsou, Catherine; Labys, Walter C. - In: Journal of macroeconomics 28 (2006) 1, pp. 256-266

Persistent link: https://www.econbiz.de/10003291175

Evidence for Chaotic Dependence between US Inflation and Commodity Prices

Kyrtsou, Catherine - 2007

Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic...

Persistent link: https://www.econbiz.de/10012776655

Does the S&P500 index lead the crude oil dynamics? : a complexity-based approach

Kyrtsou, Catherine; Mikropoulou, Christina; Papana, Angeliki - In: Energy economics 56 (2016), pp. 239-246

Persistent link: https://www.econbiz.de/10011664236

Further insights on the relationship between SP500, VIX and volume : a new asymmetric causality test

Kyrtsou, Catherine; Kugiumtzis, Dimitris; Papana, Angeliki - In: The European journal of finance 25 (2019) 15, pp. 1402-1419

Persistent link: https://www.econbiz.de/10012207107

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

Identification of causal relationships in non-stationary time series with an information measure : evidence for simulated and financial data

Papana, Angeliki; Kyrtsou, Catherine; Kugiumtzis, Dimitris - In: Empirical economics : a quarterly journal of the … 64 (2023) 3, pp. 1399-1420

Persistent link: https://www.econbiz.de/10014226364

Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l’énergie

Nsouadi, Ange; Kamdem, Jules Sadefo; Terraza, Michel - 2015

Persistent link: https://www.econbiz.de/10011300803