Non-Linear Granger Causality in the Currency Futures Returns

This paper examines the relationship between currency futures returns by employing a test for non-linear causality. The results indicate evidence of unidirectional non-linear causality relationship in four cases. However, after filtering the returns using a GARCH (1,1) model we find insignificant and statistically weaker non-linear causality relationships

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Year of publication:	2007
Authors:	Asēmakopulos, Iōannēs ; Ayling, David ; Mahmood, Wan Mansor
Publisher:	[S.l.] : SSRN
Subject:	Kausalanalyse \| Causality analysis \| Währungsderivat \| Currency derivative \| Kapitaleinkommen \| Capital income
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 68, 2000 Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014052813