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Citations for "A causality-in-variance test and its application to financial market prices"

by Cheung, Yin-Wong & Ng, Lilian K.

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  1. Reboredo, Juan C., 2014. "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, vol. 36(C), pages 229-234.
  2. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers ECO2012/20, European University Institute.
  3. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, vol. 11(1), pages 27-47, January.
  4. Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(4), pages 429-445, December.
  5. Christian M. Hafner & Helmut Herwartz, 2008. "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 89, pages 215-241.
  6. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
  7. Lee, Tae-Hwy & Yang, Weiping, 2014. "Granger-causality in quantiles between financial markets: Using copula approach," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 70-78.
  8. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
  9. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
  10. Soytas, Ugur & Oran, Adil, 2011. "Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey," Applied Energy, Elsevier, vol. 88(1), pages 354-360, January.
  11. Bianconi, Marcelo & Hua, Xiaxin & Tan, Chih Ming, 2015. "Determinants of systemic risk and information dissemination," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 352-368.
  12. Urmee Khan & Robert Lieli, 2010. "Information Processing in Prediction Markets: An Empirical Investigation," Working Papers 201426, University of California at Riverside, Department of Economics.
  13. Ben Rejeb, Aymen & Arfaoui, Mongi, 2014. "Financial market interdependencies: a quantile regression analysis of volatility spillover," MPRA Paper 61516, University Library of Munich, Germany.
  14. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, 06.
  15. Mirzosaid Sultonov, 2016. "Dynamic conditional correlation and causality relationship among foreign exchange, stock and commodity markets: Evidence from 2014 Russian financial crisis," Economics Bulletin, AccessEcon, vol. 36(2), pages 949-962.
  16. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
  17. da Silveira, Rodrigo Lanna F. & Mattos, Fabio L., 2015. "Price And Volatility Transmission In Livestock And Grain Markets: Examining The Effect Of Increasing Ethanol Production Across Countries," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205684, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  18. D van Dijk & D R Osborn & M Sensier, 2004. "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series 45, Economics, The Univeristy of Manchester.
  19. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 26(2), pages 92-112.
  20. Lu, Feng-bin & Hong, Yong-miao & Wang, Shou-yang & Lai, Kin-keung & Liu, John, 2014. "Time-varying Granger causality tests for applications in global crude oil markets," Energy Economics, Elsevier, vol. 42(C), pages 289-298.
  21. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
  22. Vít Bubák & Evžen Kocenda & Filip Zikes, 2010. "Volatility Transmission in Emerging European Foreign Exchange Markets," CESifo Working Paper Series 3063, CESifo Group Munich.
  23. Jebabli, Ikram & Arouri, Mohamed & Teulon, Frédéric, 2014. "On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility," Energy Economics, Elsevier, vol. 45(C), pages 66-98.
  24. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.
  25. Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003. "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers 032003, Hong Kong Institute for Monetary Research.
  26. Takeshi Inoue, 2015. "Central Bank Intervention And Exchange Rate Behavior: Empirical Evidence For India," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(02), pages 1550016-1-1.
  27. Nakajima, Tadahiro & Hamori, Shigeyuki, 2013. "Testing causal relationships between wholesale electricity prices and primary energy prices," Energy Policy, Elsevier, vol. 62(C), pages 869-877.
  28. Yusaku Nishimura & Ming Men, 2010. "The paradox of China's international stock market co-movement: Evidence from volatility spillover effects between China and G5 stock markets," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing, vol. 3(3), pages 235-253, December.
  29. Javier Pereda, 2009. "Estimación de la curva de rendimiento para el Perú y su uso para el análisis monetario," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 413-450, octubre-d.
  30. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
  31. Demirer, Rıza & Kutan, Ali M. & Shen, Fanglin, 2012. "The effect of ethanol listing on corn prices: Evidence from spot and futures markets," Energy Economics, Elsevier, vol. 34(5), pages 1400-1406.
  32. Dibooglu, Sel & Cevik, Emrah. I., 2016. "The effect of North Korean threats on financial markets in South Korea and Japan," Journal of Asian Economics, Elsevier, vol. 43(C), pages 18-26.
  33. Speight, Alan E. H. & McMillan, David G., 2001. "Volatility spillovers in East European black-market exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 367-378, June.
  34. Yin-Wong Cheung & Frank Westermann, 2001. "Equity Price Dynamics Before and After the Introduction of the Euro: A Note," CESifo Working Paper Series 420, CESifo Group Munich.
  35. Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series 676, The University of Melbourne.
  36. Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, vol. 19(11), pages 917-933.
  37. Li, Jing, 2006. "Testing Granger Causality in the presence of threshold effects," International Journal of Forecasting, Elsevier, vol. 22(4), pages 771-780.
  38. Okur, Mustafa & Cevik, Emrah Ismail, 2013. "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper 71477, University Library of Munich, Germany, revised 2013.
  39. Murat Tasdemir & Abdullah Yalama, 2010. "Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil," Working Papers 2010/8, Turkish Economic Association, revised Jan 2010.
  40. Vilasuso, Jon, 2001. "Causality tests and conditional heteroskedasticity: : Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 101(1), pages 25-35, March.
  41. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
  42. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 397-412, July.
  43. Elie Bouri & Riza Demirer, 2016. "On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters," Economia Politica- Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 33(1), pages 63-82, April.
  44. Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
  45. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
  46. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Asian Real Estate Society, vol. 17(2), pages 157-202.
  47. Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008. "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers 202008, Hong Kong Institute for Monetary Research.
  48. Pablo Mendieta Ossio & Sergio Cerezo Aguirre & Javier Cossío Medinacelli, 2009. "¿La inflación está de vuelta en Sudamérica?. Choques exógenos, expectativas y credibilidad de la política monetaria," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 11(1), pages 111-146, December.
  49. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers 0101, University of Crete, Department of Economics.
  50. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2014. "Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 354-366.
  51. Cruz, Jose Cesar Jr. & Silveira, Rodrigo L. F. & Capitani, Daniel H. D. & Urso, Fabiana S. P. & Martines, Joao G. Filho, 2016. "The effect of Brazilian corn and soybean crop expansion on price and volatility transmission," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 236127, Agricultural and Applied Economics Association.
  52. Ji, Qiang & Fan, Ying, 2016. "Modelling the joint dynamics of oil prices and investor fear gauge," Research in International Business and Finance, Elsevier, vol. 37(C), pages 242-251.
  53. Bhar, Ramaprasad & Hamori, Shigeyuki, 2005. "Causality in variance and the type of traders in crude oil futures," Energy Economics, Elsevier, vol. 27(3), pages 527-539, May.
  54. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," LSE Research Online Documents on Economics 22875, London School of Economics and Political Science, LSE Library.
  55. Agata Kliber, 2011. "Sovereign CDS Instruments in Central Europe – Linkages and Interdependence," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 111-128.
  56. Hsiao, Cheng & Perrigne, Isabelle, 2001. "Studies in Estimation and Testing," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 1-4, July.
  57. Abdelaziz Rouabah, 2007. "Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques," BCL working papers 25, Central Bank of Luxembourg.
  58. McMillan, David G. & Speight, Alan E.H., 2010. "Return and volatility spillovers in three euro exchange rates," Journal of Economics and Business, Elsevier, vol. 62(2), pages 79-93, March.
  59. Jammazi, Rania, 2012. "Cross dynamics of oil-stock interactions: A redundant wavelet analysis," Energy, Elsevier, vol. 44(1), pages 750-777.
  60. Onour, Ibrahim, 2012. "Volatility Spillover Across GCC Stock Markets," MPRA Paper 57086, University Library of Munich, Germany.
  61. Siv Taing & Andrew Worthington, 2005. "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 371-388, November.
  62. Bouri, Elie, 2015. "A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market," Energy Policy, Elsevier, vol. 85(C), pages 271-279.
  63. Bouri, Elie, 2015. "Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis," Energy Economics, Elsevier, vol. 51(C), pages 590-598.
  64. Döpke, Jörg & Pierdzioch, Christian, 1998. "Brokers and business cycles: Does financial market volatility cause real fluctuations?," Kiel Working Papers 899, Kiel Institute for the World Economy (IfW).
  65. Guillermo Benavides & Carlos Capistrán, 2009. "Una nota sobre las volatilidades de la tasa de interés y del tipo de cambio según diferentes instrumentos de política monetaria: México 1998-2008," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 391-412, octubre-d.
  66. Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach "Abstract: A multivariate GARCH model is used to investigate Granger causality in the conditional variance of time series. Parametric ," Department of Economics - Working Papers Series 1194, The University of Melbourne.
  67. Bouri, Elie & Awartani, Basel & Maghyereh, Aktham, 2016. "Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010," Energy Economics, Elsevier, vol. 56(C), pages 205-214.
  68. Chen, Guifu & Hamori, Shigeyuki, 2009. "Energy prices and China’s international competitiveness," MPRA Paper 18827, University Library of Munich, Germany.
  69. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
  70. 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.
  71. Agata Kliber, 2014. "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 330-350, September.
  72. Guillermo Benavides & Carlos Capistrán, 2009. "A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008," Working Papers 2009-10, Banco de México.
  73. Joseph D. ALBA & Donghyun PARK, 2004. "Granger Causality Among Pre-Crisis East Asian Exchange Rates," Econometric Society 2004 Far Eastern Meetings 697, Econometric Society.
  74. Jian Zhang & Dongxiang Zhang & Juan Wang & Yue Zhang, 2013. "Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 205-217, December.
  75. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, vol. 165(2), pages 175-189.
  76. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 213-227.
  77. Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat, 2015. "The time-varying causality between spot and futures crude oil prices: A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 51-71.
  78. Bhar, Ramaprasad & Hamori, Shigeyuki, 2008. "Information content of commodity futures prices for monetary policy," Economic Modelling, Elsevier, vol. 25(2), pages 274-283, March.
  79. Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009. "Causality in quantiles and dynamic stock return-volume relations," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1351-1360, July.
  80. Gormus, N. Alper & Atinc, Guclu, 2016. "Volatile oil and the U.S. economy," Economic Analysis and Policy, Elsevier, vol. 50(C), pages 62-73.
  81. Cevik, Emrah Ismail & Pekkaya, Mehmet, 2007. "Spot Ve Vadeli̇ İşlem Fi̇yatlarinin Varyanslari Arasindaki̇ Nedenselli̇k Testi̇
    [Causality in variance test between spot and futures prices]
    ," MPRA Paper 71301, University Library of Munich, Germany.
  82. Inagaki, Kazuyuki, 2007. "Testing for volatility spillover between the British pound and the euro," Research in International Business and Finance, Elsevier, vol. 21(2), pages 161-174, June.
  83. 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.
  84. Bertrand Candelon & Sessi Tokpavi, 2014. "A Nonparametric Test for Grangercausality in Distribution with Application to Financial Contagion," Working Papers 2014-162, Department of Research, Ipag Business School.
  85. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
  86. Onour, Ibrahim, 2011. "Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market," MPRA Paper 28001, University Library of Munich, Germany.
  87. Alexander C. M. Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
  88. Kritika Mathur & Nidhi Kaicker & Raghav Gaiha & Katsushi Imai & Ganesh Thapa, 2013. "Financialisation of Food Commodity Markets, Price Surge and Volatility: New Evidence," The School of Economics Discussion Paper Series 1312, Economics, The University of Manchester.
  89. Bezemer, Dirk J & Grydaki, Maria, 2012. "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper 36356, University Library of Munich, Germany.
  90. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
  91. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
  92. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
  93. Stefan Lyocsa & Tomas Vyrost & Eduard Baumohl, 2015. "Return spillovers around the globe: A network approach," Papers 1507.06242, arXiv.org, revised Nov 2015.
  94. Tomoaki Nakatani & Timo Terasvirta, 2009. "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, 03.
  95. Hu, John Wei-Shan & Chen, Mei-Yuan & Fok, Robert C. W. & Huang, Bwo-Nung, 1997. "Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 351-367, December.
  96. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
  97. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
  98. Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2015. "Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4996-5011, October.
  99. Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan, 2015. "Oil prices and financial stress: A volatility spillover analysis," Energy Policy, Elsevier, vol. 82(C), pages 278-288.
  100. Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
  101. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA.
  102. repec:wyi:journl:002098 is not listed on IDEAS
  103. Grydaki, Maria & Bezemer, Dirk J., 2012. "The Role of Credit in Great Moderation: a Multivariate GARCH Approach," MPRA Paper 39813, University Library of Munich, Germany.
  104. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2012. "Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data," Discussion Papers in Economics and Business 12-01, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  105. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
  106. Hafner, Christian M. & Herwartz, Helmut, 2006. "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, vol. 93(1), pages 137-141, October.
  107. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
  108. Pantelidis, Theologos & Pittis, Nikitas, 2004. "Testing for Granger causality in variance in the presence of causality in mean," Economics Letters, Elsevier, vol. 85(2), pages 201-207, November.
  109. J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.
  110. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
  111. Chan, Tze-Haw & Hooy, Chee Wooi, 2003. "On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911," MPRA Paper 2032, University Library of Munich, Germany, revised 2006.
  112. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  113. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, 06.
  114. Celso Brunetti & Christopher L. Gilbert, 1999. "Bivariate FIGARCH and Fractional Cointegration," Working Papers 408, Queen Mary University of London, School of Economics and Finance.
  115. Brzeszczyński, Janusz & Kutan, Ali M., 2015. "Public information arrival and investor reaction during a period of institutional change: An episode of early years of a newly independent central bank," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 727-753.
  116. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
  117. Takashi Miyazaki & Shigeyuki Hamori, 2013. "Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 27-40, January.
  118. Li, Haiqi & Zhong, Wanling & Park, Sung Y., 2016. "Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations," Economic Modelling, Elsevier, vol. 52(PB), pages 661-671.
  119. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  120. Yin-Wong Cheung & Hung-Gay Fung, 1997. "Information Flows Between Eurodollar Spot and Futures Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(4), pages 255-271, December.
  121. Fujii, Eiji, 2005. "Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 315-342, October.
  122. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 77-86, March.
  123. Baghli, Mustapha, 2006. "A model-free characterization of causality," Economics Letters, Elsevier, vol. 91(3), pages 380-388, June.
  124. González, Mariano, 2016. "Asymmetric causality in-mean and in-variance among equity markets indexes," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 49-68.
  125. Mahmod Qadan & Joseph Yagil, 2012. "Fear sentiments and gold price: testing causality in-mean and in-variance," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 363-366, March.
  126. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW).
  127. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
  128. Rodrigues, Paulo M.M. & Rubia, Antonio, 2007. "Testing for causality in variance under nonstationarity in variance," Economics Letters, Elsevier, vol. 97(2), pages 133-137, November.
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