Search Results - subject:"Nonlinear causality"

Economic growth and energy consumption revisited -- Evidence from linear and nonlinear Granger causality

Chiou-Wei, Song Zan; Chen, Ching-Fu; Zhu, Zhen - In: Energy Economics 31 (2009) 2, pp. 235-239

The relationship between energy consumption and economic growth is considered as an imperative issue in energy economics. Previous studies have ignored the nonlinear behavior which could be caused by structural breaks. In this study, both linear and nonlinear Granger causality tests are applied...

Persistent link: https://www.econbiz.de/10005280009

International nonlinear causality between stock markets

Beine, Michel; Capelle-Blancard, Gunther; Raymond, Helene - In: The European Journal of Finance 14 (2008) 8, pp. 663-686

of bidirectional nonlinear causality between daily returns. To check for spurious nonlinear causality, we filter out … heteroskedasticity using a FIGARCH model. The dramatic decrease in the number of significant nonlinear causality lags confirms that … nonlinear causality. We find that a large number of nonlinear relationships vanish when we control for structural breaks …

Persistent link: https://www.econbiz.de/10005471850

International nonlinear causality between stock markets

Beine, Michel; Capelle-Blancard, Gunther G.; Raymond, … - Solvay Brussels School of Economics and Management, … - 2008

Persistent link: https://www.econbiz.de/10011011734

Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets

Robles-Fernandez, M. Dolores; Nieto, Luisa; Fernandez, … - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 4, pp. 1106-1106

This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained...

Persistent link: https://www.econbiz.de/10004966109

Energy Shocks and Financial Markets: Nonlinear Linkages

Ciner, Cetin - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 3, pp. 1079-1079

only linear linkages have been examined. Relying on nonlinear causality tests, this study provides evidence that oil shocks …

Persistent link: https://www.econbiz.de/10004966125

THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL

TABAK, BENJAMIN M. - In: International Journal of Theoretical and Applied … 09 (2006) 08, pp. 1377-1396

between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear …

Persistent link: https://www.econbiz.de/10005060234

Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

Swanson, Norman; Corradi, Valentina - Department of Economics, Rutgers University-New Brunswick - 2006

Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid in recursive estimation frameworks. Thereafter, we present two examples where predictive accuracy tests are made operational using our new bootstrap procedures. In one...

Persistent link: https://www.econbiz.de/10005750213

Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output

Swanson, Norman; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 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/10005750215

Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets

Robles-Fernandez, M. Dolores; Nieto, Luisa; Fernandez, … - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 4, pp. 1106-1106

Persistent link: https://www.econbiz.de/10005579862

Predective Density and Conditional Confidence Interval Accuracy Tests

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004

This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence...

Persistent link: https://www.econbiz.de/10005750164