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Browsing by Subject "Time-varying Granger causality"

Browsing by Subject "Time-varying Granger causality"

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  • Jammazi, Rania; Ferrer Lapeña, Román; Jareño Cebrián, Francisco; Hammoudeh, Shawkat M. (Elsevier, 2017-07)
    This paper investigates the causal relationship between changes in the 10-year Treasury bond yield and the S&P 500 stock return in the United Sates with emphasis on time variation, stress factors and smooth regime transition. ...