Parametric and nonparametric Granger causality testing: Linkages between international stock markets
Year of publication: |
2008
|
---|---|
Authors: | Gooijer, Jan G. De ; Sivarajasingham, Selliah |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 11, p. 2547-2560
|
Publisher: |
Elsevier |
Subject: | GARCH-BEKK | Granger causality | Hypothesis testing | Nonparametric | Stock market linkages |
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