Please use this identifier to cite or link to this item: https://ruomo.lib.uom.gr/handle/7000/233
Title: Testing for Granger Causality in the Presence of Chaotic Dynamics
Authors: Hristu-Varsakelis, Dimitrios
Kyrtsou, Catherine
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
Issue Date: 2013
Source: Brussels Economic Review
Volume: 53
Issue: 2
First Page: 323
Last Page: 327
Abstract: An increasing number of recent articles applying powerful tests for non-linear causality have fuelled interest in discovering complex dynamics in macroeconomic and financial data. This paper is an attempt to add to the set of available tools by proposing a test for determining the source of causal relationships when a certain class of complex dynamics, that includes chaotic non-linearities, is present.
URI: https://ruomo.lib.uom.gr/handle/7000/233
Appears in Collections:Department of Applied Informatics

Files in This Item:
File Description SizeFormat 
Hristu_Kyrtsou_BER.pdf177,53 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.