In this paper, linear and non-linear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and non-linear causality between these two series. ARCH-type models are used to...

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

In this paper, linear and non-linear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and non-linear causality between these two series. ARCH-type models are used to...