Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns
2008 ◽
Vol 2008
◽
pp. 1-7
◽
Keyword(s):
The purpose of this paper is to propose a version of causality testing that focuses on how the sign of the returns affects the causality results. We replace the traditional VAR specification used in the Granger causality test by a discrete-time bivariate noisy Mackey glass model. Our test reveals interesting and previously unexplored relationships in US economic series, including inflation, metal, and stock returns.
2015 ◽
Vol 48
(21)
◽
pp. 1915-1924
◽
Keyword(s):
Keyword(s):
2017 ◽
Vol 37
(1)
◽
pp. 33-38
◽
Keyword(s):
2021 ◽
Vol 6
(1)
◽
2010 ◽
Vol 37
(9)
◽
pp. 1473-1486
◽