Browsing Department of Economics (ECO) by Subject "nonparametric Granger causality"

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Browsing Department of Economics (ECO) by Subject "nonparametric Granger causality"

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    Title: Nonlinear Causality Testing with Stepwise Multivariate Filtering  Author(s): BEKIROS, Stelios D. Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This study explores the direction and nature of causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), ...