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Nonlinear Granger Causality : Guidelines for Multivariate Analysis
Diks, Cees G. H. - 2013
In this paper we propose an extension of the nonparametric Granger causality test, originally introduced by Diks and Panchenko [2006. A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics & Control 30, 1647-1669]. We show that the...
Persistent link: https://www.econbiz.de/10013071869
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Nonlinear granger causality : guidelines for multivariate analysis
Diks, Cees G. H.; Wolski, Marcin - In: Journal of applied econometrics 31 (2016) 7, pp. 1333-1351
Persistent link: https://www.econbiz.de/10011687494
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Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Tang, Yusui; Ma, Feng; Zhang, Yaojie; Wei, Yu - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4770-4783
Persistent link: https://www.econbiz.de/10013461377
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Multivariate models of commodity futures markets : a dynamic copula approach
Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057
Persistent link: https://www.econbiz.de/10014329023
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Efficient statistical equilibria in markets
Jörnsten, Kurt O. (contributor); Ubøe, Jan (contributor) - 2005
Persistent link: https://www.econbiz.de/10002884144
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Never a Dull Moment : Entropy Risk in Commodity Markets
Chabi-Yo, Fousseni - 2020
. Using the concept of entropy, a summary of all moments of a risky security, we derive the relationship between expected … returns and their compensation for entropy risk. Entropy risk premium (ERP), the difference of entropy under the physical and …
Persistent link: https://www.econbiz.de/10012850653
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Multiscale information transmission between commodity markets : an EMD-Based transfer entropy network
Liu, Chang; Sun, Xiaolei; Wang, Jun; Li, Jianping; … - In: Research in international business and finance 55 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013264679
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Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets
Bekiros, Stelios; Nguyen, Duc Khuong; Sandoval Junior, … - In: European journal of operational research : EJOR 256 (2017) 3, pp. 945-961
Persistent link: https://www.econbiz.de/10011639266
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Efficient Statistical Equilibria in Markets
Jornsten, Kurt; Uboe, Jan - 2007
respect to utility, these equilibria reduce to the classical entropy maximizing states. Moreover, we show how to construct …
Persistent link: https://www.econbiz.de/10014052224
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Never a dull moment : entropy risk in commodity markets
Chabi-Yo, Fousseni; Doshi, Hitesh; Zurita, Virgilio - In: Review of asset pricing studies : RAPS 13 (2023) 4, pp. 734-783
Persistent link: https://www.econbiz.de/10014445754