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Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns
Joint Authors
Kyrtsou, C.
Hristu-Varsakelis, D.
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2008, Issue 2008 (31 Dec. 2008), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2008-05-22
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
The purpose of this paper is to propose a version of causality testing that focuses on how the sign of the returns affects the causality results.
We replace the traditional VAR specification used in the Granger causality test by a discrete-time bivariate noisy Mackey glass model.
Our test reveals interesting and previously unexplored relationships in US economic series, including inflation, metal, and stock returns.
American Psychological Association (APA)
Hristu-Varsakelis, D.& Kyrtsou, C.. 2008. Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns. Discrete Dynamics in Nature and Society،Vol. 2008, no. 2008, pp.1-7.
https://search.emarefa.net/detail/BIM-448778
Modern Language Association (MLA)
Hristu-Varsakelis, D.& Kyrtsou, C.. Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns. Discrete Dynamics in Nature and Society No. 2008 (2008), pp.1-7.
https://search.emarefa.net/detail/BIM-448778
American Medical Association (AMA)
Hristu-Varsakelis, D.& Kyrtsou, C.. Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns. Discrete Dynamics in Nature and Society. 2008. Vol. 2008, no. 2008, pp.1-7.
https://search.emarefa.net/detail/BIM-448778
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-448778