Using generalized impulse response functions, this study tests for the trade J-curve for three transitional central European countries - the Czech Republic, Hungary, and Poland - in their bilateral trade with respect to Germany. Our findings suggest that for each country there are some...

This paper examines the causality between the exchange rates and stock prices in the Middle East and North Africa Region before and after Asian financial crisis. Applying a non-causality testing procedure developed by Toda and Yamamoto (1995), we empirically find that there is a unidirectional...

Testing for causation—defined as the preceding impact of the past value(s) of one variable on the current value of another when all other pertinent information is accounted for—is increasingly utilized in empirical research using the time-series data in different scientific disciplines. A...

Risk management in financial derivative markets requires inevitably the calculation of price sensitivities. The literature contains an abundant amount of research works on these important values. Most of these works consider the well-known Black and Scholes model where the volatility is assumed...

This paper focuses on an important empirical and methodological research question, namely possibly asymmetric and hence nonlinear cointegrating relationships between variables. It extends the Granger and Yoon (2002) method on hidden cointegration for time series data to a panel data framework....

Granger causality tests have become among the most popular empirical applications with time series data. Several new tests have been developed in the literature that can deal with different data generating processes. In all existing theoretical papers it is assumed that the lag length is known a...