Testing for short- and long-run causality: A frequency-domain approach
By J. Breitung, B. Candelon. 2006
914 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1ecfb10116b8c22717e139389fc173ba2f2d549f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Ahmet Sensoy
- Ender Demir
- Giray Gozgor
- Aviral Kumar Tiwari
- Katrin Assenmacher-Wesche
- K. Al-Yahyaee
- Walid Mensi
- Sagi Akron
In Finance
- Katrin Assenmacher-Wesche
- Sagi Akron
- Refk Selmi
- Hakan Eryüzlü
- Seref Bozoklu
- K. Al-Yahyaee
- Giray Gozgor
- Walid Mensi
Citations in the corpus
- What Does Bitcoin Look Like (2015, background): “We consider also the global macroeconomic and financial indicators following the studies of Ciaian et al. (2014) and Kristoufek (2014) including the gold price and the Chinese or Shangai stock market index.”
- Evidences of interdependence and contagion using a frequency domain framework (2005, neutral): “hi,t = ωi + αi (2)i,t−1 + βihi,t−1 i = 1, 2, (6)”
- Measuring the frequency dynamics of financial connectedness and systemic risk (2015, neutral): “Geweke (1982) proposes a frequency domain decomposition of the usual likelihood ratio test statistic for Granger causality, and Dufour and Renault (1998); Breitung and Candelon (2006); Yamada and Yanfeng (2014) provide a formal framework for testing causality on various frequencies. Geweke (1984); G”
- The nexus between COVID-19 fear and stock market volatility (2021, neutral): “Breitung and Candelon (2006) demonstrated that the aforementioned test shows the association between x and y in the VAR (p) mathematical model, as follows: The null hypothesis was verified through the test proposed by Geweke (1991) in null linear restriction, as follows:”
- Tourism development and economic growth: a panel Granger causality analysis in the frequency domain (2017, methodology): “Although Breitung and Candelon’s (2006) Granger causality test, an elaborated version of Geweke’s (1982) test, has been extensively used in the empirical literature, to the best of our knowledge there have not been any studies in the tourism literature mainly because of the lack of data.”