Filters








1,961 Hits in 7.4 sec

The reaction of stock market returns to unemployment

Jesús Gonzalo, Abderrahim Taamouti
2017 Studies in Nonlinear Dynamics & Econometrics  
AbstractWe empirically investigate the short-run impact of  ...  Earlier versions of this paper were presented at the 65th European Meeting of the Econometric Society in Oslo (2011)  ...  The test considered here [hereafter non-linear Granger causality test, or nonparametric Granger causality test] can detect linear and non-linear Granger causality at any level (quantile) of the conditional  ... 
doi:10.1515/snde-2015-0078 fatcat:jkhw3aqntfh3razfyk3nq27bbi

A Consistent Nonparametric Test for Granger Non-Causality Based on the Transfer Entropy

Cees Diks, Hao Fang
2020 Entropy  
To date, testing for Granger non-causality using kernel density-based nonparametric estimates of the transfer entropy has been hindered by the intractability of the asymptotic distribution of the estimators  ...  We overcome this by shifting from the transfer entropy to its first-order Taylor expansion near the null hypothesis, which is also non-negative and zero if and only if Granger causality is absent.  ...  A Transfer Entropy-Based Test Statistic for Granger Non-Causality Nonparametric Granger Non-Causality Tests This subsection provides some basic concepts and definitions for Granger causality, and the  ... 
doi:10.3390/e22101123 pmid:33286892 pmcid:PMC7597253 fatcat:laclkdxnujgyjh65wc3lejo5x4

Stock market's reaction to money supply: a nonparametric analysis

Abderrahim Taamouti
2015 Studies in Nonlinear Dynamics & Econometrics  
We document the following stylized facts about stock market's reaction to money supply and examine the effect across the entire distribution of stock returns. Using a  ...  We also thank Yoshihiko Nishiyama for his Gauss code which we used to compute the nonparametric test for Granger causality in mean.  ...  Some of the results were obtained when the author was at Universidad Carlos III de Madrid.  ... 
doi:10.1515/snde-2013-0059 fatcat:a7x3cpaeefc2zpb4ahauhlxc7e

Measuring Nonlinear Granger Causality in Mean

Xiaojun Song, Abderrahim Taamouti
2017 Journal of business & economic statistics  
The new measures are based on nonparametric regressions and defined as logarithmic functions of restricted and unrestricted mean square forecast errors.  ...  We also find that there is a high degree of predictability at horizon one-month which can be attributed to a nonlinear causal effect.  ...  s (2011) nonparametric test for testing the Granger non-causality in mean.  ... 
doi:10.1080/07350015.2016.1166118 fatcat:k52rqeil7rfrlkz5yku5lgol5e

Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods

Cees Diks, Hao Fang
2017 Entropy  
The information-theoretical concept transfer entropy is an ideal measure for detecting conditional independence, or Granger causality in a time series setting.  ...  However, those tests are typically based on nonparametric entropy estimates for which the development of formal asymptotic theory turns out to be challenging.  ...  The authors also wish to extend particular gratitude to Simon Broda and Chen Zhou for their comments on an earlier version of this paper.  ... 
doi:10.3390/e19070372 fatcat:4i6ovy7qfbdsxfalrgfxgoduqy

Nonparametric estimation and inference for conditional density based Granger causality measures

Abderrahim Taamouti, Taoufik Bouezmarni, Anouar El Ghouch
2014 Journal of Econometrics  
ABSTRACT We propose a nonparametric estimation and inference for conditional density based Granger causality measures that quantify linear and nonlinear Granger causalities.  ...  2014) 'Nonparametric estimation and inference for conditional density based Granger causality measures.', Journal of econometrics., 180 (2). pp. 251-264.  ...  Results and comments Conclusion We proposed a nonparametric estimator and a nonparametric test for conditional density based Granger causality measures that quantify linear and nonlinear causality between  ... 
doi:10.1016/j.jeconom.2014.03.001 fatcat:wbnri7ua7zakhg3yftt7amvyiy

Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

Taoufik Bouezmarni, Jeroen V.K. Rombouts, Abderrahim Taamouti
2012 Journal of business & economic statistics  
This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance.  ...  We illustrate the empirical relevance of our test by focusing on Granger causality using financial time series data to test for nonlinear leverage versus volatility feedback effects and to test for causality  ...  Linton and Gozalo (1997) develop a non-pivotal nonparametric empirical distribution function based test of conditional independence.  ... 
doi:10.1080/07350015.2011.638831 fatcat:3vhbmutz4bb2ffdhoe2oepuxti

Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach

Stelios Bekiros, Rangan Gupta
2015 Economics Letters  
Then, given this evidence of nonlinearity, using a nonparametric Granger causality test, we show that it is in fact cay and not cay MS which is a stronger predictor of not only stock returns, but also  ...  Recent empirical evidence based on a linear framework tends to suggest that a Markovswitching version of the consumption-aggregate wealth ratio (cay MS ), developed to account for structural breaks, is  ...  To further substantiate this indication and considering that the results from the linear Granger causality test cannot be relied upon, we rely on the utilization of the nonparametric causality test proposed  ... 
doi:10.1016/j.econlet.2015.03.019 fatcat:bpu7hxwng5fapazd26usx6dtkm

Causal Nexus Between Growth And Savings In India: Using Nonlinear Causality Approach

S. K. Patra, A. A. Sofi
2016 Zenodo  
The results reveal a unidirectional causality that runs from savings to economic growth which suggests the need to accelerate domestic savings to promote higher income and growth.  ...  Further, to analyse the efficacy of the causal relationship between growth and savings, the study uses Himestra and Jones and Diks and Panchenko nonlinear causality approach.  ...  causality.The Diks and Panchenko nonparametric test is based on the standard Granger causality proposed by Granger (1969) .  ... 
doi:10.5281/zenodo.1321509 fatcat:mq474gtfrbfmzmeiwueh6ig4ra

The relationship between oil and agricultural commodity prices in South Africa: A quantile causality approach

Mehmet Balcilar, Shinhye Chang, Rangan Gupta, Vanessa Kasongo, Clement Kyei
2016 Journal of Developing Areas  
As an alternative, the nonparametric test of Granger causality in quantiles, as proposed by Jeong, Härdle and Song (2012) is used.  ...  The findings show that the effect of changes in oil prices on agricultural commodity prices vary across the different quantiles of the conditional distribution.  ...  Jeong, Härdle and Song (2012) developed a nonparametric test of Granger causality in quantile based on the kernel density method.  ... 
doi:10.1353/jda.2016.0117 fatcat:ejkgexwrubbynfyuyqtbtansfq

The Testing of Causal Stock Returns-Trading Volume Dependencies with the Aid of Copulas

Henryk Gurgul, Roland Mestel, Robert Syrek
2013 Managerial Economics  
Linton and Gozalo [32] tested conditional independence by mean of a test statistic based on empirical distributions.  ...  In the recent literature on nonlinear dependencies in the sense of Granger causality nonparametric tests are used for the conditional independence of random variables.  ...  in terms of conditional densities are formulated as follows: The opposite direction of causal dependency has the form:  ... 
doi:10.7494/manage.2013.13.21 fatcat:vbsjgh5x4rgcxew73mi2ajjnem

The Testing of Causal Stock Returns-Trading Volume Dependencies with the Aid of Copulas

Henryk Gurgul, Roland Mestel, Robert Syrek
2013 Managerial Economics  
Linton and Gozalo [32] tested conditional independence by mean of a test statistic based on empirical distributions.  ...  In the recent literature on nonlinear dependencies in the sense of Granger causality nonparametric tests are used for the conditional independence of random variables.  ...  in terms of conditional densities are formulated as follows: The opposite direction of causal dependency has the form:  ... 
doi:10.7494/manage.2013.13.1.21 fatcat:uxvtzg6aw5bgjmfmemt6zvzwty

A Consistent Nonparametric Test for Causality in Quantile

Kiho Jeong, Wolfgang K. HHrdle
2007 Social Science Research Network  
Abstact This paper proposes a nonparametric test of causality in quantile.  ...  We extend Zheng's approach to the case of dependent data, particularly to the test of Granger causality in quantile.  ...  Based on the kernel method, we propose a nonparametric test for Granger causality in quantile.  ... 
doi:10.2139/ssrn.2894309 fatcat:tjhtmgqcrfgitptoue4ykutjmi

A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices

Stelios Bekiros, Rangan Gupta, Clement Kyei
2016 Applied Economics  
However, and Huang et al. (2015) developed a new investor sentiment index, S PLS , which they show can predict monthly stock returns based on a linear framework.  ...  Given this, using a nonparametric causality approach, we show that neither S BW or S PLS predicts stock market returns or even its volatility, as opposed to previous empirical evidence.  ...  In future research, it would be interesting to use the powerful frequency domain-based Granger causality test of Breitung and Candelon (2006) to verify our results from the linear Granger causality test  ... 
doi:10.1080/00036846.2015.1130793 fatcat:ut4w7xt4wrg57m6swtirilxhyi

Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test

Syed Ali Raza, Nida Shah, Muhammad Ali, Muhammad Shahbaz
2021 Zagreb International Review of Economics and Business  
Therefore, the current research investigates the non-linear dynamics of gold price and exchange rate relationship in G7 countries using the new technique named the nonparametric causality approach.  ...  In the recent era, gold is considered an essential investment source, a source of hedging inflation, and a medium of monetary exchange.  ...  Table 4 : Parameter stability testing based on a linear Granger causality test are likely to suffer from misspecification.  ... 
doi:10.2478/zireb-2021-0010 fatcat:y4jh3bzlqbgrjb2dyzqevorz7m
« Previous Showing results 1 — 15 out of 1,961 results