Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets
Year of publication: |
2014
|
---|---|
Authors: | Bekiros, Stelios |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 29.2014, C, p. 336-348
|
Publisher: |
Elsevier |
Subject: | Nonlinear filtering | Multivariate GARCH | Spillovers |
-
Nonlinear causality testing with stepwise multivariate filtering
Bekiros, Stelios, (2011)
-
Avdoulas, Christos, (2016)
-
Measuring persistence in volatility spillovers
Conrad, Christian, (2013)
- More ...
-
Nonlinear causality testing with stepwise multivariate filtering
Bekiros, Stelios, (2011)
-
Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics
Bekiros, Stelios, (2011)
-
Forecasting with a state space time-varying parameter VAR model : evidence from the Euro area
Bekiros, Stelios, (2014)
- More ...