Search Results - subject:"Nonlinear causality"

Oil prices and MENA stock markets : new evidence from nonlinear and asymmetric causalities during and after the crisis period

Ajmi, Ahdi Noomen; El Montasser, Ghassen; Hammoudeh, Shawkat - In: Applied economics 46 (2014) 16/18, pp. 2167-2177

Persistent link: https://www.econbiz.de/10010413309

Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics

Bekiros, Stelios D. - In: Journal of banking & finance 39 (2014), pp. 117-134

Persistent link: https://www.econbiz.de/10010340766

Contagion, decoupling and the spillover effects of the US financial crisis : evidence from the BRIC markets

Bekiros, Stelios D. - In: International review of financial analysis 33 (2014), pp. 58-69

Persistent link: https://www.econbiz.de/10010520075

Exchange rates and foreign exchange reserves in Turkey : nonlinear and frequency domain causality approach

Bayat, Tayfur; Senturk, Mehmet; Kayhan, Selim - In: Theoretical and applied economics : GAER review 21 (2014) 11, pp. 27-42

Persistent link: https://www.econbiz.de/10011558173

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2006

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10010266356

Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets

Nick, Sebastian - Energiewirtschaftliches Institut (EWI), Universität zu … - 2013

In this study, the informational efficiency of the European natural gas market is analyzed by empirically investigating price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that explicitly account for nonlinearities and the low...

Persistent link: https://www.econbiz.de/10010840524

Nonlinearity in ASEAN-5 export-led growth model: Empirical evidence from nonparametric approach

Lim, Shiok Ye; Ho, Chong Mun - In: Economic Modelling 32 (2013) C, pp. 136-145

test and nonlinear causality test, in ASEAN-5 countries. The nonparametric cointegration results contribute to the …, Indonesia and Singapore. The findings obtained from the nonlinear causality test also showed that the causal effect of export …

Persistent link: https://www.econbiz.de/10010664414

Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests

Ajmi, Ahdi Noomen; El Montasser, Ghassen; Nguyen, Duc Khuong - In: Economic Modelling 35 (2013) C, pp. 126-133

this article, we address this issue for the G7 countries by using two nonlinear causality tests in the sense of Hiemstra …

Persistent link: https://www.econbiz.de/10010719364

Guns, highways and economic growth in the United States

Kollias, Christos; Paleologou, Suzanna-Maria - In: Economic Modelling 30 (2013) C, pp. 449-455

and economic growth is examined in this paper using both linear and nonlinear causality tests. Both spending on highways …

Persistent link: https://www.econbiz.de/10010608277

Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests

Ajmi, Ahdi Noomen; El Montasser, Ghassen; Nguyen, Duc Khuong - In: Economic modelling 35 (2013), pp. 126-133

Persistent link: https://www.econbiz.de/10010258877