Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests

By Taufiq Choudhry, Fotios I. Papadimitriou, Sarosh Shabi. 2016

114 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3664f2b5c5b4689e3b4bb42d7ed1a3ed5d170a89

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

1. Zhi Su
2. Tae-Hwy Lee
3. Tong Fang
4. Juan-Carlos Escanciano
5. Andrew J. Patton

In Finance

1. Zhi Su
2. Tae-Hwy Lee
3. Tong Fang
4. Andrew J. Patton
5. Esther Ruiz
6. Juan-Carlos Escanciano

Citations in the corpus

• Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, unknown): “Choudhry, Papadimitriou, and Shabi (2016) used the HJ test to investigate nonlinear relationship between stock market volatility and the business cycle.”
• Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection (2020, background): “Choudhry et al. (2016) also reveal a strong relationship between the industrial production growth rate and stock market volatility.”