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Non-linear Granger causality in the currency futures returns

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Author Info

  • Asimakopoulos, Ioannis
  • Ayling, David
  • Mansor Mahmood, Wan

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File URL: http://www.sciencedirect.com/science/article/B6V84-405JSFV-5/2/0d7f71436cdc8251654aaccf78353aae
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 68 (2000)
Issue (Month): 1 (July)
Pages: 25-30

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Handle: RePEc:eee:ecolet:v:68:y:2000:i:1:p:25-30

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-76, April.
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Cited by:
  1. Gurgul, Henryk & Lach, Ɓukasz, 2010. "The causal link between Polish stock market and key macroeconomic aggregates," MPRA Paper 52250, University Library of Munich, Germany.
  2. Piotr Gurgul & Robert Syrek, 2013. "Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 11(4 (Winter), pages 353-373.
  3. Cook, Steven, 2008. "Further analysis of spurious causality," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 647-651.
  4. Henfryk Gurgul & lukasz Lach, 2009. "Linear versus nonlinear causalityfor dax companies," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 27-46.
  5. Diks Cees & Panchenko Valentyn, 2005. "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-9, June.
  6. Ozdemir, Zeynel Abidin & Cakan, Esin, 2007. "Non-linear dynamic linkages in the international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 173-180.
  7. Ciner, Cetin, 2011. "Information transmission across currency futures markets: Evidence from frequency domain tests," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 134-139, June.

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