Journal
STATISTICS & PROBABILITY LETTERS
Volume 81, Issue 8, Pages 1063-1071Publisher
ELSEVIER
DOI: 10.1016/j.spl.2011.02.031
Keywords
Linear Granger causality; Nonlinear Granger causality; U-statistics; Simulation; Stock markets
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Funding
- NSF China [10871036]
- Research Grants Council of Hong Kong [202809]
- NUS [R-155-000-096-720]
- Northeast Normal University
- National University of Singapore
- Hong Kong Baptist University
- Columbia University
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This paper extends the test established by Hiemstra and Jones (1994) to develop a nonlinear causality test in a multivariate setting. A Monte Carlo simulation is conducted to demonstrate the superiority of our proposed multivariate test over its bivariate counterpart. In addition, we illustrate the applicability of our proposed test for analyzing the relationships among different Chinese stock market indices. (C) 2011 Elsevier B.V. All rights reserved.
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