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Original Articles

Inter-market information flow: a nonlinear approach

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Pages 1009-1015 | Published online: 24 Jun 2009

References

  • Baek , E. and Brock , W. 1992 . A general test for Granger causality: bivariate model, Technical Report , Wisconsin, MD : Iowa State University, Ames, and University of Wisconsin .
  • Bhar , R. and Hamori , S. 2004 . Information flow between price change and trading volume in gold futures contracts . International Journal of Business and Economics , 3 : 45 – 56 .
  • Cheung , Y. W. and Ng , L. K. 1996 . A causality-in-variance test and its applications to financial market prices . Journal of Econometrics , 72 : 33 – 48 .
  • Granger , C. J. 1969 . Investigating causal relations by econometric models and cross spectral methods . Econometrica , 37 : 424 – 38 .
  • Hiemstra , C. and Jones , J. D. 1994 . Testing for linear and nonlinear Granger causality in the stock price–volume relation . Journal of Finance , 49 : 1639 – 64 .

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