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  • Search: subject:"Granger Non Linear Tests"
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Subject
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Granger Non Linear Tests 1 Systematic Sampling 1 Temporal Aggregation 1 Trade Volume and Returns 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Tserkezos, Dikaios 1
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Department of Economics, University of Crete 1
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Working Papers / Department of Economics, University of Crete 1
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RePEc 1
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Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens Stocks Exchange.
Tserkezos, Dikaios - Department of Economics, University of Crete - 2013
Several tests for nonlinear causality are available on the literature. In this paper we investigate the effects of temporal aggregation and systematic sampling using some well known linear and nonlinear Granger causality tests. The conducted Monte Carlo simulation experiments and the empirical...
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