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Testing for short and long-run causality: The case of the yield spread and economic growth
Breitung, Jörg; Candelon, Bertrand - Sonderforschungsbereich 373, Quantifikation und … - 2001
is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991 …) is used to construct a simple test for causality in the frequency domain. This methodology is applied to investigate the …
Persistent link: https://www.econbiz.de/10010983617
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The predictive ability of accounting operating cash flows: a moving window spectral analysis
Ridley, Dennis; Gist, Willie; Duke, Dennis; Flagg, James C. - In: American Journal of Finance and Accounting 1 (2008) 2, pp. 167-193
In this paper, evidence is provided on the predictive ability of quarterly operating Cash Flows (CFs). The inability of creditors and investors to anticipate future CFs based on historical CFs, with any degree of accuracy, may suggest that historical forecasting models are underspecified....
Persistent link: https://www.econbiz.de/10005751908
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The predictive ability of accounting operating cash flows: a moving window spectral analysis
Ridley, Dennis; Gist, Willie; Duke, Dennis; Flagg, James C. - In: American Journal of Finance and Accounting 1 (2008) 2, pp. 167-193
In this paper, evidence is provided on the predictive ability of quarterly operating Cash Flows (CFs). The inability of creditors and investors to anticipate future CFs based on historical CFs, with any degree of accuracy, may suggest that historical forecasting models are underspecified....
Persistent link: https://www.econbiz.de/10008539448
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Causality between regional stock markets : a frequency domain approach
Gradojevic, Nikola; Dobardžić, Eldin - In: Panoeconomicus 60 (2013) 5, pp. 633-647
Persistent link: https://www.econbiz.de/10010341053
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Do sunspot numbers cause global temperatures? : evidence from a frequency domain causality test
Gupta, Rangan; Gil-Alaña, Luis A.; Yaya, OlaOluwa S. - In: Applied economics 47 (2015) 7/9, pp. 798-808
Persistent link: https://www.econbiz.de/10010512114
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Causality between credit depth and economic growth : evidence from 24 OECD countries
Stolbov, Michail I. - In: Empirical economics : a journal of the Institute for … 53 (2017) 2, pp. 493-524
Persistent link: https://www.econbiz.de/10011988427
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A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts
Pincheira, Pablo; West, Kenneth D. - In: Research in economics : an international review of economics 70 (2016) 2, pp. 304-319
Persistent link: https://www.econbiz.de/10011631148
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The mutual predictability of Bitcoin and web search dynamics
Süssmuth, Bernd - In: Journal of Forecasting 41 (2021) 3, pp. 435-454
Bitcoin price dynamics at relatively high frequencies ranging from 2 to 5 months. In the other direction, Granger‐causality … time computed from a phase delay measure for the relevant frequency bands with significant causality ranges from about 1 to …
Persistent link: https://www.econbiz.de/10013368409
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Bitcoin and web search query dynamics: is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is … relatively high frequencies ranging from two to five months. In the other direction, causality runs from the cryptocurrency price … measure for the relevant frequency bands with significant causality ranges from slightly more than one month to about four …
Persistent link: https://www.econbiz.de/10012052781
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Bitcoin and Web Search Query Dynamics: Is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is … relatively high frequencies ranging from two to five months. In the other direction, causality runs from the cryptocurrency price … measure for the relevant frequency bands with significant causality ranges from slightly more than one month to about four …
Persistent link: https://www.econbiz.de/10012099128