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Non-linear Granger causality in the currency futures returns


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


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  • Asimakopoulos, Ioannis & Ayling, David & Mansor Mahmood, Wan, 2000. "Non-linear Granger causality in the currency futures returns," Economics Letters, Elsevier, vol. 68(1), pages 25-30, July.
  • Handle: RePEc:eee:ecolet:v:68:y:2000:i:1:p:25-30

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    References listed on IDEAS

    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 167-176, April.
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    Cited by:

    1. Prasad Bal, Debi & Narayan Rath, Badri, 2015. "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India," Energy Economics, Elsevier, vol. 51(C), pages 149-156.
    2. Gurgul, Henryk & Lach, Łukasz, 2010. "The causal link between Polish stock market and key macroeconomic aggregates," MPRA Paper 52250, University Library of Munich, Germany.
    3. Ishanu Chattopadhyay, 2014. "Causality Networks," Papers 1406.6651,
    4. 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.
    5. 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.
    6. Cook, Steven, 2008. "Further analysis of spurious causality," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 647-651.
    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.
    8. Kumar, Satish, 2017. "On the nonlinear relation between crude oil and gold," Resources Policy, Elsevier, vol. 51(C), pages 219-224.
    9. Kumar, Satish, 2016. "Evidence of information transmission across currency futures markets using frequency domain tests," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 319-327.
    10. 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.
    11. 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.
    12. Özen Ercan & Letife Özdemir & Grima Simon & Bezzina Frank, 2014. "Investigating Causality Effects in Return Volatility among Five Major Futures Markets in European Countries with a Mediterranean Connection," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 207-220, December.

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