Abstract
This paper extends the test established by Hiemstra and Jones (1994) to develop a nonlinear causality test in a multivariate setting. A Monte Carlo simulation is conducted to demonstrate the superiority of our proposed multivariate test over its bivariate counterpart. In addition, we illustrate the applicability of our proposed test for analyzing the relationships among different Chinese stock market indices.
Original language | English |
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Pages (from-to) | 1063-1071 |
Number of pages | 9 |
Journal | Statistics and Probability Letters |
Volume | 81 |
Issue number | 8 |
Early online date | 2 Mar 2011 |
DOIs | |
Publication status | Published - Aug 2011 |
Scopus Subject Areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
User-Defined Keywords
- Linear Granger causality
- Nonlinear Granger causality
- U-statistics
- Simulation
- Stock markets