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

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

Testing for causality-in-mean and variance between the UK housing and stock markets

Toyoshima, Yuki - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-10

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the …-way causal relation between them. Second, a causality-in-variance as well as a causality-in-mean was detected from the housing …

Persistent link: https://www.econbiz.de/10012611009

Oil Price Fluctuations and Exchange Rate Dynamics in the MENA Region: Evidence from Non-Causality-in- Variance and Asymmetric Non-Causality Tests

Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - 2018

The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations and to test for the dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, Tunisia,...

Persistent link: https://www.econbiz.de/10011931951