1. Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data. (2016). KYRTSOU, Catherine ; Kugiumtzis, Dimitris ; Diks, Cees ; Papana, Angeliki.
   In: Computational Economics.
   RePEc:kap:compec:v:47:y:2016:i:3:d:10.1007_s10614-015-9491-x.

   Full description at Econpapers || Download paper

2. Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information. (2015). Fiedor, Paweł ; You, Tao ; Hoda, Artur.
   In: JRFM.
   RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:266-284:d:50474.

   Full description at Econpapers || Download paper

3. Partial Symbolic Transfer Entropy. (2013). KYRTSOU, Catherine ; Diks, Cees ; Diks, C. G. H., ; Kugiumtzis, D. ; Papana, A..
   In: CeNDEF Working Papers.
   RePEc:ams:ndfwpp:13-16.

   Full description at Econpapers || Download paper

4. Modelo de Crescimento Baseado nas Exportações: Evidências empíricas para Chile, Brasil e México, em uma perspectiva Não Linear. (2008). Alves, Denisard ; João Paulo Martin Faleiros, ; DENISARD CNEIO DE OLIVEIRA ALVES, .
   In: Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting].
   RePEc:anp:en2008:200807170923500.

   Full description at Econpapers || Download paper

1. Aparicio, F. ; Escribano, A. Information-theoretic analysis of serial correlation and cointegration. 1998 Studies in Nonlinear Dynamics and Econometrics. 3 119-140
   Paper not yet in RePEc: Add citation now
   
2. Baek, E., Brock W., 1992. A general test for nonlinear granger causality: bivariate model. Working paper, University of Wisconsin, Madison.
   Paper not yet in RePEc: Add citation now
   

3. Bell, D. ; Kay, J. ; Malley, J. A non-parametric approach to non-linear causality testing. 1996 Economics Letters. 51 7-18

4. Beran, R. Prepivoting test statistics: a bootstrap view of asymptotic refinements. 1988 Journal of the American Statistical Association. 83 687-697
   Paper not yet in RePEc: Add citation now
   

5. Cheung, Y.-W. ; Ng, L. A causality-in-variance test and its application to financial market prices. 1996 Journal of Econometrics. 72 33-48

6. Davidson, R. ; MacKinnon, J. The size distortion of bootstrap tests. 1999 Econometric Theory. 15 361-376

7. Davidson, R., MacKinnon, J., 2003. Improving the reliability of bootstrap tests. Working paper, Universit e de la M editerranée, GREQAM.
   Paper not yet in RePEc: Add citation now
   
8. Fan, J. ; Marron, J. Fast implementations of nonparametric curve estimators. 1994 Journal of Computational and Graphical Statistics. 3 35-56
   Paper not yet in RePEc: Add citation now
   
9. Granger, C. Testing for causality and feedback. 1969 Econometrica. 37 424-438
   Paper not yet in RePEc: Add citation now
   
10. Granger, C. ; Terfiasvirta, T. Modelling Nonlinear Economic Relationships. 1993 Oxford University Press:
    Paper not yet in RePEc: Add citation now
    

11. Hidalgo, J. Nonparametric test for causality with long-range dependence. 2000 Econometrica. 68 1465-1490

12. Hiemstra, C. ; Jones, J. Testing for linear and nonlinear granger causality in the stock price-volume relation. 1994 Journal of Finance. 49 1639-1664

1. Re-examining Granger Causality from Causal Bayesian Networks Perspective. (2025). Adedayo, S A.
   In: Papers.
   RePEc:arx:papers:2501.02672.

   Full description at Econpapers || Download paper

2. Decomposing causality into its synergistic, unique, and redundant components. (2024). Lozano-Durn, Adrin ; Arranz, Gonzalo ; Martnez-Snchez, Lvaro.
   In: Nature Communications.
   RePEc:nat:natcom:v:15:y:2024:i:1:d:10.1038_s41467-024-53373-4.

   Full description at Econpapers || Download paper

3. The impact of speculation on commodity prices: A Meta-Granger analysis. (2021). Wimmer, Thomas ; Hutter, Marie ; Geyer-Klingeberg, Jerome ; Schmid, Florian ; Rathgeber, Andreas.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300258.

   Full description at Econpapers || Download paper

4. A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test. (2018). Fernandez-Macho, Javier ; Faria, S H ; Neumann, M B ; Polanco-Martinez, J M.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:490:y:2018:i:c:p:1211-1227.

   Full description at Econpapers || Download paper

5. Türkiye’nin Ihracata Dayali Buyumesinin Ekonometrik Analizi. (2017). Dura, Yahya Can ; Beser, Mustafa Kemal ; Acaroglu, Hakan.
   In: Ege Academic Review.
   RePEc:ege:journl:v:17:y:2017:i:2:p:295-310.

   Full description at Econpapers || Download paper

6. Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models. (2016). Zeitlberger, Alexander ; Brauneis, Alexander.
   In: Central European Journal of Operations Research.
   RePEc:spr:cejnor:v:24:y:2016:i:1:p:149-176.

   Full description at Econpapers || Download paper

7. A comparative analysis of monetary responses to global oil price changes: net oil producing vs. net oil consuming countries. (2016). Worthington, Andrew ; Sotoudeh, M-Ali.
   In: International Economics and Economic Policy.
   RePEc:kap:iecepo:v:13:y:2016:i:4:d:10.1007_s10368-015-0315-1.

   Full description at Econpapers || Download paper

8. Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach. (2016). Abadie, Luis M ; Polanco-Martinez, Josue M.
   In: Energies.
   RePEc:gam:jeners:v:9:y:2016:i:12:p:1089-:d:85667.

   Full description at Econpapers || Download paper

9. An empirical analysis of the relationships between crude oil, gold and stock markets. (2016). Rojas, Omar ; Coronado, Semei ; Jim, Rebeca .
   In: Papers.
   RePEc:arx:papers:1510.07599.

   Full description at Econpapers || Download paper

10. Granger causality stock market networks: Temporal proximity and preferential attachment. (2015). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:262-276.

    Full description at Econpapers || Download paper

11. Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India. (2015). Rath, Badri ; Bal, Debi Prasad.
    In: Energy Economics.
    RePEc:eee:eneeco:v:51:y:2015:i:c:p:149-156.

    Full description at Econpapers || Download paper

12. The causal linkages between sovereign CDS prices for the BRICS and major European economies. (2014). Stolbov, Mikhail.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:20149.

    Full description at Econpapers || Download paper

13. Relationship between the dollar, the price of copper and the IPSA indifferent time scales: An approach through Wavelet. (2014). Werner Kristjanpoller R., ; Alejandro Sierra C., .
    In: Journal Economía Chilena (The Chilean Economy).
    RePEc:chb:bcchec:v:17:y:2014:i:3:p:56-85.

    Full description at Econpapers || Download paper

14. Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’. (2013). Miyazaki, Takashi ; Hamori, Shigeyuki.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:1:p:27-40.

    Full description at Econpapers || Download paper

15. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Yue ; Wang, Juan.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:205-217.

    Full description at Econpapers || Download paper

16. Oil price and exchange rates: A wavelet based analysis for India. (2013). Tiwari, Aviral ; Dar, Arif ; Bhanja, Niyati.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:414-422.

    Full description at Econpapers || Download paper

17. Fear sentiments and gold price: testing causality in-mean and in-variance. (2012). Qadan, Mahmod ; Yagil, Joseph.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:4:p:363-366.

    Full description at Econpapers || Download paper

18. Mortgage Lending and the Great moderation: a multivariate GARCH Approach. (2012). Grydaki, Maria ; Bezemer, Dirk J.
    In: MPRA Paper.
    RePEc:pra:mprapa:36356.

    Full description at Econpapers || Download paper

19. Return and volatility spillovers among CIVETS stock markets. (2012). Korkmaz, Turhan ; Çevik, Emrah ; Atukeren, Erdal.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252.

    Full description at Econpapers || Download paper

20. Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach. (2012). Benhmad, Franois.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:4:p:1505-1514.

    Full description at Econpapers || Download paper

21. Volatility Transmission in Emerging European Foreign Exchange Markets. (2011). Kočenda, Evžen ; Bubak, Vit ; Zikes, Filip.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2011-1020.

    Full description at Econpapers || Download paper

22. Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market. (2011). Onour, Ibrahim.
    In: MPRA Paper.
    RePEc:pra:mprapa:28001.

    Full description at Econpapers || Download paper

23. On the Interpretation of Causality in Granger’s Sense. (2011). Osinska, Magdalena ; Osiska, Magdalena.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:11:y:2011:p:129-140.

    Full description at Econpapers || Download paper

24. Sovereign CDS Instruments in Central Europe – Linkages and Interdependence. (2011). Kliber, Agata.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:11:y:2011:p:111-128.

    Full description at Econpapers || Download paper

25. Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US. (2010). Papadopoulos, Athanasios ; Kanas, Angelos ; Giannellis, Nikolaos.
    In: Panoeconomicus.
    RePEc:voj:journl:v:57:y:2010:i:4:p:429-445.

    Full description at Econpapers || Download paper

26. Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil. (2010). Tasdemir, Murat ; Yalama, Abdullah .
    In: Working Papers.
    RePEc:tek:wpaper:2010/8.

    Full description at Econpapers || Download paper

27. Linear and Non-linear Causality Test in a LSTAR model - wavelet decomposition in a non-linear environment. (2010). Li, Yushu ; Shukur, Ghazi.
    In: Working Paper Series in Economics and Institutions of Innovation.
    RePEc:hhs:cesisp:0227.

    Full description at Econpapers || Download paper

28. Volatility Transmission in Emerging European Foreign Exchange Markets. (2010). Kočenda, Evžen ; Bubak, Vit ; Zikes, Filip ; Kocenda, Even.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3063.

    Full description at Econpapers || Download paper

29. Energy prices and China’s international competitiveness. (2009). Hamori, Shigeyuki ; Chen, Guifu.
    In: MPRA Paper.
    RePEc:pra:mprapa:18827.

    Full description at Econpapers || Download paper

30. Financial variables and euro area growth: A non-parametric causality analysis. (2009). Panopoulou, Ekaterini.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:6:p:1414-1419.

    Full description at Econpapers || Download paper

31. Bayesian causal effects in quantiles: Accounting for heteroscedasticity. (2009). Chen, Cathy W. S. ; Wei, D. C. M., ; Gerlach, Richard.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:1993-2007.

    Full description at Econpapers || Download paper

32. A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008. (2009). Capistrán, Carlos ; Benavides, Guillermo.
    In: Working Papers.
    RePEc:bdm:wpaper:2009-10.

    Full description at Econpapers || Download paper

33. Return, Trading Volume, and Market Depth in Currency Futures Markets. (2008). Cheung, Yin-Wong ; Cheng, Ai-Ru.
    In: Working Papers.
    RePEc:hkm:wpaper:202008.

    Full description at Econpapers || Download paper

34. Information content of commodity futures prices for monetary policy. (2008). Hamori, Shigeyuki ; Bhar, Ramaprasad.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:25:y:2008:i:2:p:274-283.

    Full description at Econpapers || Download paper

35. Modelo de Crescimento Baseado nas Exportações: Evidências empíricas para Chile, Brasil e México, em uma perspectiva Não Linear. (2008). Alves, Denisard ; João Paulo Martin Faleiros, ; DENISARD CNEIO DE OLIVEIRA ALVES, .
    In: Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting].
    RePEc:anp:en2008:200807170923500.

    Full description at Econpapers || Download paper

36. Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. (2008). Teräsvirta, Timo ; Strikholm, Birgit ; PEGUIN-FEISSOLLE, Anne ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-19.

    Full description at Econpapers || Download paper

37. Causality in Quantiles and Dynamic Stock Return-Volume Relations. (2007). Lin, Hsin-Yi ; Kuan, Chung-Ming ; Chuang, Chia-Chang.
    In: IEAS Working Paper : academic research.
    RePEc:sin:wpaper:07-a006.

    Full description at Econpapers || Download paper

38. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model. (2007). Teräsvirta, Timo ; Nakatani, Tomoaki ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0649.

    Full description at Econpapers || Download paper

39. Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques. (2007). Rouabah, Abdelaziz.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp025.

    Full description at Econpapers || Download paper

40. On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911. (2006). Chan, Tze-Haw ; Hooy, Chee-Wooi.
    In: MPRA Paper.
    RePEc:pra:mprapa:2032.

    Full description at Econpapers || Download paper

41. The predictive content of financial variables: Evidence from the euro area. (2006). Panopoulou, Ekaterini.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp178.

    Full description at Econpapers || Download paper

42. A Lagrange multiplier test for causality in variance. (2006). Hafner, Christian ; Herwartz, Helmut.
    In: Economics Letters.
    RePEc:eee:ecolet:v:93:y:2006:i:1:p:137-141.

    Full description at Econpapers || Download paper

43. A model-free characterization of causality. (2006). Baghli, Mustapha .
    In: Economics Letters.
    RePEc:eee:ecolet:v:91:y:2006:i:3:p:380-388.

    Full description at Econpapers || Download paper

44. A new statistic and practical guidelines for nonparametric Granger causality testing. (2006). Panchenko, Valentyn ; Diks, Cees.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1647-1669.

    Full description at Econpapers || Download paper

45. Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities. (2005). Shamiri, Ahmed ; Hassan, Abu.
    In: Econometrics.
    RePEc:wpa:wuwpem:0509015.

    Full description at Econpapers || Download paper

46. Mean and variance causality between the Cyprus Stock Exchange and major equity markets. (2005). Kouretas, Georgios ; Georgiades, Robert ; Constantinou, Eleni ; Kazandjian, Avo.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:24.

    Full description at Econpapers || Download paper

47. Integration at a cost: Evidence from volatility impulse response functions. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1540305.

    Full description at Econpapers || Download paper

48. Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan. (2005). Glascock, John ; Cheng, Hwahsin.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:24:y:2005:i:4:p:343-357.

    Full description at Econpapers || Download paper

49. Testing for causality in variance in the presence of breaks. (2005). van Dijk, Dick ; Sensier, Marianne ; Osborn, Denise.
    In: Economics Letters.
    RePEc:eee:ecolet:v:89:y:2005:i:2:p:193-199.

    Full description at Econpapers || Download paper

50. Mean and variance causality between the Cyprus Stock Exchange and major equity markets. (2005). Kouretas, Georgios ; Georgiades, Robert ; Constantinou, Eleni ; Kazandjian, Avo.
    In: Working Papers.
    RePEc:crt:wpaper:0501.

    Full description at Econpapers || Download paper

51. Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies.. (2005). Worthington, Andrew ; Taing, Siv.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:8:y:2005:n:2:p:371-388.

    Full description at Econpapers || Download paper

52. Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?. (2005). Blanco, Roberto ; Alonso, Francisco.
    In: Working Papers.
    RePEc:bde:wpaper:0541.

    Full description at Econpapers || Download paper

53. Testing for Causality in Variance using Multivariate GARCH Models. (2004). Hafner, Christian ; Herwartz, Helmut.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:1690.

    Full description at Econpapers || Download paper

54. Do Chinese stock markets share common information arrival processes?. (2004). Wu, Ziping ; McErlean, Seamus ; Kostov, Philip.
    In: Econometrics.
    RePEc:wpa:wuwpem:0410001.

    Full description at Econpapers || Download paper

55. Testing for Granger causality in variance in the presence of causality in mean. (2004). pittis, nikitas ; Pantelidis, Theologos.
    In: Economics Letters.
    RePEc:eee:ecolet:v:85:y:2004:i:2:p:201-207.

    Full description at Econpapers || Download paper

56. Granger Causality Among Pre-Crisis East Asian Exchange Rates. (2004). PARK, DONGHYUN ; Alba, Joseph.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:697.

    Full description at Econpapers || Download paper

57. East Asian Equity Markets, Financial Crises, and the Japanese Currency. (2003). Cheung, Yin-Wong.
    In: Working Papers.
    RePEc:hkm:wpaper:032003.

    Full description at Econpapers || Download paper

58. Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models. (2002). li, wenli ; Wong, H..
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:54:y:2002:i:1:p:45-59.

    Full description at Econpapers || Download paper

59. A test for volatility spillover with application to exchange rates. (2001). Hong, Yongmiao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:103:y:2001:i:1-2:p:183-224.

    Full description at Econpapers || Download paper

60. Studies in Estimation and Testing. (2001). hsiao, cheng ; Perrigne, Isabelle.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:103:y:2001:i:1-2:p:1-4.

    Full description at Econpapers || Download paper

61. Causality tests and conditional heteroskedasticity: : Monte Carlo evidence. (2001). Vilasuso, Jon.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:101:y:2001:i:1:p:25-35.

    Full description at Econpapers || Download paper

62. A cointegration approach to the lead-lag effect among size-sorted equity portfolios. (2001). Kouretas, Georgios ; Kanas, Angelos.
    In: Working Papers.
    RePEc:crt:wpaper:0101.

    Full description at Econpapers || Download paper

63. Equity Price Dynamics Before and After the Introduction of the Euro: A Note. (2001). Westermann, Frank ; Cheung, Yin-Wong.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_420.

    Full description at Econpapers || Download paper

64. Correlations in Returns and Volatilities in Pacific-Rim Stock Markets. (2000). Zhu, Zhen ; Tay, Nicholas.
    In: Open Economies Review.
    RePEc:kap:openec:v:11:y:2000:i:1:p:27-47.

    Full description at Econpapers || Download paper

65. Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. (2000). Henry, Ólan ; Brooks, Chris.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:17:y:2000:i:4:p:497-513.

    Full description at Econpapers || Download paper

66. GARCH for Irregularly Spaced Data: The ACD-GARCH Model. (1997). Jasiak, Joann ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-06.

    Full description at Econpapers || Download paper

67. Another Look at Swedish Business Cycles, 1861-1988. (1996). Teräsvirta, Timo ; Skalin, Joakim.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0130.

    Full description at Econpapers || Download paper

68. Asymmetric covariance in sport-future markets. (). Torro, Hipolit ; Meneu, Vicente.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:135.

    Full description at Econpapers || Download paper

69. Too much cocited documents. This list is not complete

Report date: 2025-09-30 17:21:24 || Missing content? Let us know