Hassani, Hossein; Gupta, Rangan; Huang, Xu; Ghodsi, Mansi - Department of Economics, Faculty of Economic and … - 2014
-samples (identified based on tests of structural breaks), the frequency domain causality test detects predictability for both the full … causality test, allows us to decompose causality by different time horizons, and hence, could detect predictability at certain … clear support of predictability on forecasting between tested variables. …