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Granger causality from exchange rates to fundamentals : what does the bootstrap test show us?

Ko, Hsiu-Hsin; Ōgaki, Masao - In: International review of economics & finance : IREF 38 (2015), pp. 198-206

Persistent link: https://www.econbiz.de/10011572350

Why crises happen - nonstationary macroeconomics

Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010

Persistent link: https://www.econbiz.de/10008807060

Analysis of dependence in the G11 countries' financial markets : simulation and empirical evidence

Silvapulle, Paramsothy; Azam, Mohammad N.; Yeasmin, Mahbuba - In: Applied financial economics letters 3 (2007) 4/6, pp. 211-214

Persistent link: https://www.econbiz.de/10003604817

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

Why crises happen : nonstationary macroeconomics

Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010

A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...