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Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Does US news impact Asian emerging markets? : evidence from nonparametric causality-in-quantiles test

Balcilar, Mehmet; Cakan, Esin; Gupta, Rangan - In: The North American journal of economics and finance : a … 41 (2017), pp. 32-43

Persistent link: https://www.econbiz.de/10011878928

Testing for linear and non-linear causality in spot and future prices of national multi-commodity indices

Shah, Paresh - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 3, pp. 174-185

Persistent link: https://www.econbiz.de/10011543236

A new statistic and practical guidelines for nonparametric Granger causality testing

Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669

Persistent link: https://www.econbiz.de/10003370351

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10012626337