Multivariate causality tests with simulation and application

Keywords

Multivariate statistics, Causality (physics), Econometrics, Multivariate analysis, Statistics

References

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Cited by

• Predicting Intraday Financial Market Dynamics Using Takens' Vectors; Incorporating Causality Testing and Machine Learning TechniquesAbubakar-Sadiq Bouda Abdulai — 2015
• Cointegration and Causality among the Onshore and Offshore Markets for China's CurrencyDavid T. Owyong, Wing‐Keung Wong, Ira Horowitz — 2015
• Identification of stock market forces in the system adaptation frameworkXiaolian Zheng, Ben M. Chen — 2011
• The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and riskGiovanni Bonaccolto, Massimiliano Caporin, Rangan Gupta — 2018
• Twin Deficit in Nigeria: A Re-ExaminationLloyd Ahamefule Amaghionyeodiwe — 2015
• Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series modelsSheung-Chi Chow, Juncal Cuñado, Rangan Gupta — 2017
• A Robust Estimation of the CAPM with a Heavy-tailed DistributionChikashi Tsuji — 2017
• Asymmetric volatility and conditional expected returnsHisham Al Refai, Mohamed Abdelaziz Eissa, Rami Zeitun — 2017
• The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of dataRangan Gupta, Marian Risse, David A. Volkman — 2019
• Oil returns and volatility: The role of mergers and acquisitionsMartijn Bos, Rıza Demirer, Rangan Gupta — 2018
• Management information, decision sciences and financial economics : a connectionChia‐Lin Chang, Michael McAleer, Wing‐Keung Wong — 2017
• Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: ConnectionsChia‐Lin Chang, Michael McAleer, Wing‐Keung Wong — 2018
• China's impact on Mongolian exchange rateAlimaa Batai, Amanda M. Y. Chu, Zhihui Lv — 2017
• Do both demand-following and supply-leading theories hold true in developing countries?Sheung Chi Chow, João Paulo Vieito, Wing‐Keung Wong — 2018
• Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality TestsRıza Demirer, Rangan Gupta, Zhihui Lv — 2019
• The Impact of Foreign Direct Investment on Environment Degradation: Evidence from Emerging Markets in AsiaAnh Hoang To, Ha Dao, Nguyễn Minh Hà — 2019
• The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock ConnectAndy Cheng, Nikolai Sheung-Chi Chow, David Kam-Hung Chui — 2019
• Modelling Economic Growth, Carbon Emissions, and Fossil Fuel Consumption in China: Cointegration and Multivariate CausalityZhihui Lv, Amanda M. Y. Chu, Michael McAleer — 2019
• Moment Generating Function, Expectation and Variance of Ubiquitous Distributions with Applications in Decision Sciences: A ReviewKim-Hung Pho, Thi Diem-Chinh Ho, Tuan-Kiet Tran — 2019
• Review on Efficiency and Anomalies in Stock MarketsKai-Yin Woo, Chulin Mai, Michael McAleer — 2020

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