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  • Search: subject:"Granger non-causality in quantiles"
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Granger non-causality in quantiles 1 quantile causal effect 1 quantile regression 1 return-volume relation 1 sup-Wald test 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Chuang, Chia-Chang 1 Kuan, Chung-Ming 1 Lin, Hsin-yi 1
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Institute of Economics, Academia Sinica 1
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IEAS Working Paper : academic research 1
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RePEc 1
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Causality in Quantiles and Dynamic Stock Return-Volume Relations
Chuang, Chia-Chang; Kuan, Chung-Ming; Lin, Hsin-yi - Institute of Economics, Academia Sinica - 2007
This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...
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