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Multivariate linear and nonlinear causality tests

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Cited by:

  1. Nguyen Huu Hau & Tran Trung Tinh & Hoa Anh Tuong & Wing-Keung Wong, 2020. "Review of Matrix Theory with Applications in Education and Decision Sciences," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(1), pages 28-69, March.
  2. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Hkiri, Besma & Hela, Ben Hamida & Khan, Muhammad Asif, 2021. "On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  3. Zhidong Bai & Yongchang Hui & Dandan Jiang & Zhihui Lv & Wing-Keung Wong & Shurong Zheng, 2018. "A new test of multivariate nonlinear causality," PLOS ONE, Public Library of Science, vol. 13(1), pages 1-14, January.
  4. Adhiraj Sodhi & Cesario Mateus & Irina Mateus & Aleksandar Stojanovic, 2023. "Determinants of Repurchase Size: Evidence from the UK," JRFM, MDPI, vol. 16(9), pages 1-29, September.
  5. GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013. "Robust Estimation And Forecasting Of The Capital Asset Pricing Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-18.
  6. Ren, Weijie & Li, Baisong & Han, Min, 2020. "A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  7. Cees Diks & Marcin Wolski, 2016. "Nonlinear Granger Causality: Guidelines for Multivariate Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1333-1351, November.
  8. Germán G. Creamer & Tal Ben-Zvi, 2021. "Volatility and Risk in the Energy Market: A Trade Network Approach," Sustainability, MDPI, vol. 13(18), pages 1-17, September.
  9. Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018. "Oil returns and volatility: The role of mergers and acquisitions," Energy Economics, Elsevier, vol. 71(C), pages 62-69.
  10. Zhihui Lv & Amanda M. Y. Chu & Michael McAleer & Wing-Keung Wong, 2019. "Modelling Economic Growth, Carbon Emissions, and Fossil Fuel Consumption in China: Cointegration and Multivariate Causality," IJERPH, MDPI, vol. 16(21), pages 1-35, October.
  11. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Management Information, Decision Sciences, and Financial Economics: A Connection," Tinbergen Institute Discussion Papers 18-004/III, Tinbergen Institute.
  12. Vo, Duc, 2019. "The Impact of Foreign Direct Investment on Environment Degradation: Evidence from Emerging Markets in Asia," MPRA Paper 103292, University Library of Munich, Germany.
  13. Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
  14. Mario Gómez & Aitor Ciarreta & Ainhoa Zarraga, 2018. "Linear and Nonlinear Causality between Energy Consumption and Economic Growth: The Case of Mexico 1965–2014," Energies, MDPI, vol. 11(4), pages 1-15, March.
  15. Chow, Sheung Chi & Vieito, João Paulo & Wong, Wing Keung, 2019. "Do both demand-following and supply-leading theories hold true in developing countries?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 536-554.
  16. Pedro Antonio Martín Cervantes & Nuria Rueda López & Salvador Cruz Rambaud, 2019. "A Causal Analysis of Life Expectancy at Birth. Evidence from Spain," IJERPH, MDPI, vol. 16(13), pages 1-14, July.
  17. Zhichao Han & Olga Fink & David S. Kammer, 2024. "Collective relational inference for learning heterogeneous interactions," Nature Communications, Nature, vol. 15(1), pages 1-13, December.
  18. Gupta, Rangan & Risse, Marian & Volkman, David A. & Wohar, Mark E., 2019. "The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 391-405.
  19. Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung, 2018. "Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-15, April.
  20. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," JRFM, MDPI, vol. 11(1), pages 1-29, March.
  21. Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Sustainability, MDPI, vol. 11(2), pages 1-15, January.
  22. Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
  23. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, And Big Data: Connections," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 36-94, December.
  24. Jingliang Xiao & Robert D Brooks & Wing-Keung Wong, 2009. "Garch And Volume Effects In The Australian Stock Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-20.
  25. Kim-Hung Pho & Tuan-Kiet Tran & Thi Diem-Chinh Ho & Wing-Keung Wong, 2019. "Optimal Solution Techniques in Decision Sciences A Review," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 114-161, March.
  26. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Econometric Institute Research Papers 18-024/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  27. Eric S. Fung & Kin Lam & Tak-Kuen Siu & Wing-Keung Wong, 2011. "A Pseudo-Bayesian Model for Stock Returns In Financial Crises," JRFM, MDPI, vol. 4(1), pages 1-31, December.
  28. Choudhry, Taufiq & Hassan, Syed S. & Shabi, Sarosh, 2015. "Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 247-256.
  29. Andy Wui-Wing Cheng & Nikolai Sheung-Chi Chow & David Kam-Hung Chui & Wing-Keung Wong, 2019. "The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
  30. Owyong, David & Wong, Wing-Keung & Horowitz, Ira, 2015. "Cointegration and causality among the onshore and offshore markets for China's currency," Journal of Asian Economics, Elsevier, vol. 41(C), pages 20-38.
  31. Liow, Kim Hiang & Song, Jeongseop, 2020. "Dynamic interdependence of ASEAN5 with G5 stock markets," Emerging Markets Review, Elsevier, vol. 45(C).
  32. Ganesh R & Naresh G & Thiyagarajan S, 2020. "Manifesting Overconfidence Bias and Disposition Effect in the Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(3), pages 257-284, December.
  33. Wenjing Xie & João Paulo Vieito & Ephraim Clark & Wing-Keung Wong, 2020. "Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX," Sustainability, MDPI, vol. 12(20), pages 1-25, October.
  34. Kim Hiang LIOW & Jeongseop SONG, 2019. "Market Integration Among the US and Asian Real Estate Investment Trusts in Crisis Times," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 463-512.
  35. Adewuyi, Adeolu O. & Awodumi, Olabanji B. & Abodunde, Temitope T., 2019. "Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria," Resources Policy, Elsevier, vol. 61(C), pages 348-362.
  36. Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2023. "Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data," Empirical Economics, Springer, vol. 64(3), pages 1399-1420, March.
  37. Kim-Hung Pho & Thi Diem-Chinh Ho & Tuan-Kiet Tran & Wing-Keung Wong, 2019. "Moment Generating Function, Expectation And Variance Of Ubiquitous Distributions With Applications In Decision Sciences: A Review," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 65-150, June.
  38. Chu, Amanda M.Y. & Lv, Zhihui & Wagner, Niklas F. & Wong, Wing-Keung, 2020. "Linear and nonlinear growth determinants: The case of Mongolia and its connection to China," Emerging Markets Review, Elsevier, vol. 43(C).
  39. Anh Hoang To & Dao Thi-Thieu Ha & Ha Minh Nguyen & Duc Hong Vo, 2019. "The Impact of Foreign Direct Investment on Environment Degradation: Evidence from Emerging Markets in Asia," IJERPH, MDPI, vol. 16(9), pages 1-24, May.
  40. Shu-kam LEE & Paul Kwok-ching SHUM & Hugo Hin-to LEE & Kai-yin WOO, 2023. "Purchasing Power Parity Between China and Selected BRI Countries in Asia," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(3), pages 86-108, September.
  41. Azizi, Firouzeh & Moradi, Fahimeh, . "Linear and Nonlinear Causality between Stock Market Volatility and the Business Cycle in Iran," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(1).
  42. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(1), pages 1-29, March.
  43. Chi-Wei Su & Xian-Li Meng & Ran Tao & Muhammad Umar, 2023. "Chinese consumer confidence: A catalyst for the outbound tourism expenditure?," Tourism Economics, , vol. 29(3), pages 696-717, May.
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