Results 91 to 100 of about 284,614 (340)
Multivariate out-of-sample tests for Granger causality. [PDF]
A time series is said to Granger cause another series if it has incremental predictive power when forecasting it. While Granger causality tests have been studied extensively in the univariate setting, much less is known for the multivariate case. In this
Croux, Christophe, Gelper, Sarah
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Information Network Modeling for U.S. Banking Systemic Risk
Entropy, 2020 In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London Interbank Offered Rate-Overnight Index Swap) spread,
Giancarlo Nicola +2 more
doaj +1 more source
Swedish farmers' approval of nudges
Agribusiness, EarlyView.Abstract Interest in the use of behavioral policy approaches, such as nudges, has strongly increased over the past years, including in the domains of food, agricultural and environmental policies. While the approval of nudges among the general public has been studied extensively, we know little about the attitude of farmers toward nudging. Farmers may (
Liesbeth Colen +2 more
wiley +1 more source
Reliability of the Granger causality inference
New Journal of Physics, 2014 How to characterize information flows in physical, biological, and social systems remains a major theoretical challenge. Granger causality (GC) analysis has been widely used to investigate information flow through causal interactions.
Douglas Zhou +3 more
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Effect of Speculators’ Position Changes on the LME Futures Market
International Journal of Financial Studies, 2019 This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017.
Jaehwan Park
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Coal consumption and economic growth nexus: Evidence from bootstrap panel Granger causality test [PDF]
Panoeconomicus, 2017 This paper explores the causal relationship between coal consumption and economic growth for a panel of 15 African countries using bootstrap panel Granger causality test.
Anoruo Emmanuel
doaj +1 more source
Agribusiness, EarlyView.Abstract World markets for quality differentiated agri‐food products are highly competitive, presenting significant challenges for firms aiming to compete effectively. Government agencies and business organizations often implement various export promotion policies to address these challenges.
Nicolás Depetris‐Chauvin +1 more
wiley +1 more source
Measuring the propagation of financial distress with Granger-causality tail risk networks
Journal of Financial Stability, 2018 Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk networks between 33 systemically important banks (G-SIBs) and 36 sovereign bonds worldwide.
F. Corsi +3 more
semanticscholar +1 more source
Nonlinear Permuted Granger Causality
, 2023 Granger causal inference is a contentious but widespread method used in fields ranging from economics to neuroscience. The original definition addresses the notion of causality in time series by establishing functional dependence conditional on a specified model.
Gade, Noah D., Rodu, Jordan
openaire +2 more sources
An Out of Sample Test for Granger Causality [PDF]
Granger (1980) summarizes his personal viewpoint on testing for causality, and outlines what he considers to be a useful operational version of his original definition of causality (Granger (1969)), which he notes was partially alluded to in Wiener (1958)
Norman R. Swanson
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