We propose a semiparametric approach for testing orthogonality and causality between two infinite-order cointegrated … Haugh (1976, JASA) and Hong (1996, Biometrika) for testing independence between stationary univariate time series. The tests … null hypothesis are derived, and consistency is established against fixed alternatives of serial cross-correlation of …

We propose a semi-parametric approach for testing orthogonality and causality between two infinite-order co … Haugh (1976, JASA) and Hong (1996, Biometrika) for testing independence between stationary univariate time series. The tests … null hypothesis are derived, and consistency is established against fixed alternatives of serial cross-correlation of …

market exhibit a long-run equilibrium by applying Jonhenson Cointegration test, suggesting that at least one of the markets …. Furthermore, traditional (linear) Granger causality testing on raw data implies a bilateral causal relation between two markets … - GARCH). Finally, our non-parametric Granger causality results reveal that stock index futures plays a dominative rule in …