Time-varying Granger causality tests for applications in global crude oil markets
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DOI: 10.1016/j.eneco.2014.01.002
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Citations
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Cited by:
- Smyth, Russell & Narayan, Paresh Kumar, 2015. "Applied econometrics and implications for energy economics research," Energy Economics, Elsevier, vol. 50(C), pages 351-358.
- repec:eee:phsmap:v:490:y:2018:i:c:p:1555-1574 is not listed on IDEAS
- Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018.
"Networks of volatility spillovers among stock markets,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 490(C), pages 1555-1574.
- Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost, 2016. "Networks of volatility spillovers among stock markets," KIER Working Papers 941, Kyoto University, Institute of Economic Research.
- Eduard Baumöhl & Evžen Kocenda & Stefan Lyócsa & Tomás Vyrost, 2017. "Networks of Volatility Spillovers among Stock Markets," CESifo Working Paper Series 6476, CESifo Group Munich.
- repec:eee:reveco:v:49:y:2017:i:c:p:453-483 is not listed on IDEAS
- Saafi Sami & Farhat Abdeljelil & Haj Mohamed Meriem Bel, 2015. "Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 585-608, December.
- Chang, Chun-Ping & Lee, Chien-Chiang, 2015. "Do oil spot and futures prices move together?," Energy Economics, Elsevier, vol. 50(C), pages 379-390.
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- Patrick Kanda & Michael Burke & Rangan Gupta, 2017. "Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data," Working Papers 201778, University of Pretoria, Department of Economics.
- repec:eee:finana:v:52:y:2017:i:c:p:260-280 is not listed on IDEAS
- Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015.
"Granger causality stock market networks: Temporal proximity and preferential attachment,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 427(C), pages 262-276.
- Tom'av{s} V'yrost & v{S}tefan Ly'ocsa & Eduard Baumohl, 2014. "Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment," Papers 1408.2985, arXiv.org.
- Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
- Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.
- Stefan Lyocsa & Tomas Vyrost & Eduard Baumohl, 2015. "Return spillovers around the globe: A network approach," Papers 1507.06242, arXiv.org, revised Nov 2015.
More about this item
Keywords
Time-varying Granger causality; Information spillover; Rolling correlation; DCC-MGARCH; Crude oil market;JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- F30 - International Economics - - International Finance - - - General
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