Search Results - subject:"Causality-in-mean"

Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets : a CCF approach

Osabuohien-Irabor, Osarumwense - In: Journal of economics & management 43 (2021) 1, pp. 131-153

Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal...

Persistent link: https://www.econbiz.de/10013166588

Oil and multinational technology stocks : predicting fear with fear at the first and higher order moments

Adekoya, Oluwasegun B.; Oliyide, Johnson A.; Akinseye, … - In: Finance research letters 46 (2022) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10013339199

Causal linkages among advanced emerging European and Asian economies

Kumar, Dilip - In: Theoretical economics letters 9 (2019) 1, pp. 139-154

Persistent link: https://www.econbiz.de/10012005378

Islamic and conventional equity markets : Two sides of the same coin, or not?

Ahmed, Walid M. A. - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 191-205

Persistent link: https://www.econbiz.de/10012176223

Distributional predictability between commodity spot and futures : evidence from nonparametric causality-in-quantiles tests

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Hammoudeh, … - In: Energy economics 78 (2019), pp. 615-628

Persistent link: https://www.econbiz.de/10012160046

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Mikhail - 2014

(CCF) approach used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality …

Persistent link: https://www.econbiz.de/10010332838

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Mikhail - In: Economics: The Open-Access, Open-Assessment E-Journal 8 (2014) 2014-26, pp. 1-43

(CCF) approach that distinguishes between causality-in-mean and causality-in-variance and the Breitung-Candelon causality …

Persistent link: https://www.econbiz.de/10010378320

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Mikhail - Institut für Weltwirtschaft (IfW) - 2014

(CCF) approach used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality …

Persistent link: https://www.econbiz.de/10010956154

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Michail I. - 2014

(CCF) approach used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality …

Persistent link: https://www.econbiz.de/10010247460

Factor double autoregressive models with application to simultaneous causality testing

Guo, Shaojun; Ling, Shiqing; Zhu, Ke - Volkswirtschaftliche Fakultät, … - 2013

Testing causality-in-mean and causality-in-variance has been largely studied. However, none of the tests can detect … causality-in-mean and causality-in-variance simultaneously. In this article, we introduce a factor double autoregressive (FDAR …) model. Based on this model, a score test is proposed to detect causality-in-mean and causality-in-variance simultaneously …

Persistent link: https://www.econbiz.de/10011113423