A Copula Nonlinear Granger Causality
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DOI: 10.1016/j.econmod.2019.09.052
Abstract: Abstract We propose a new copula nonlinear Granger causality test that is more robust than the current available linear and nonlinear Granger causality tests when there exists an asymmetric and nonlinear directional dependence. To perform… read more here.
Keywords: nonlinear granger; granger causality; copula nonlinear; causality ... See more keywords
Interaction among China carbon emission trading markets: Nonlinear Granger causality and time-varying effect
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DOI: 10.1016/j.eneco.2020.104901
Abstract: China makes great efforts to reduce carbon emissions and mitigate global greenhouse gas. In order to identify the interaction among China CET markets, this paper comprehensively investigates nonlinear Granger causality and time-varying effect in markets… read more here.
Keywords: nonlinear granger; time varying; time; among china ... See more keywords