Browsing by Subject "Granger causality"
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Granger causality testing for Argentina MERVAL index and the major world stock markets
(2015-10)In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger ... -
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
(2014-10)In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence ...