Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1140144 | Mathematics and Computers in Simulation | 2010 | 13 Pages |
Abstract
The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones [19] develop a nonlinear Granger causality test in bivariate settings to investigate the nonlinear causality between stock prices and trading volume. This paper extends their work by developing a nonlinear causality test in multivariate settings.
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Authors
Zhidong Bai, Wing-Keung Wong, Bingzhi Zhang,