Non-Asymptotic Guarantees for Reliable Identification of Granger Causality via the LASSO. [PDF]
IEEE Trans Inf Theory, 2023 Das P, Babadi B.
europepmc +1 more source
Tourism, real output and real effective exchange rate in Malaysia: a view from rolling sub-samples [PDF]
The objective of this study is to examine the tourism-growth nexus for Malaysia with the cointegration and Granger causality tests. This study covers the monthly data from January 1989 to May 2010.
Tang, Chor Foon
core +1 more source
Causality analysis of the determinants of FDI in Bangladesh: fresh evidence from VAR, VECM and Granger causality approach [PDF]
, 2022 Niaz Morshed, Mohammad Razib Hossain
openalex +1 more source
When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro +2 more
wiley +1 more source
Simulation Evidence on Granger Causality in Presence of a Confounding Variable [PDF]
This paper provides simulation evidence on Granger causality between two variables when they are jointly caused by a third variable. Four Data Generating Processes (DGPs) are considered for testing causality by Granger method and two DGPs for testing ...
Zahid ASGHAR
core
Granger Causality of Gaussian Signals from Binary or Non-uniformly Quantized Measurements
, 2021 Salman Ahmadi, Girish N. Nair
openalex +1 more source
We introduce a rigorous mathematical framework for Granger causality in extremes, designed to identify causal links from extreme events in time series. Granger causality plays a pivotal role in uncovering directional relationships among time-varying variables.
Bodik, Juraj, Pasche, Olivier C.
openaire +2 more sources
The Impact of Democratization and Globalization on Environmental Sustainability in Brazil
Geological Journal, EarlyView.Fossil fuel, economic globalisation, and economic growth drive environmental degradation while democratisation positively influences environmental quality. ABSTRACT Although Brazil still possesses significant ecological reserves, the surplus in its biocapacity has been rapidly declining in recent years.
Mustafa Naimoğlu +3 more
wiley +1 more source
Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects [PDF]
In this paper, we perform Granger causality analysis on stock market indices from several Asian, European, and U.S. markets. Using daily data, we point out the potential problems caused by the presence of nonsynchronous trading effects.
Eduard Baumöhl, Tomáš Výrost
core
Geological Journal, EarlyView.The current study examines the role of Fintech, wind energy, and green technology in determining environmental suitability in Germany from 2000 to 2024. The study employs time series econometric methods to estimate the QQR and QR techniques. The positive effects of wind production, FinTech, Natural Resources and green technology on environmental ...
Hind Alofaysan, Kamel Si Mohammed
wiley +1 more source