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Testing linear and nonlinear granger causality in CSI300 futures and spot markets based on new concepts of nonlinear positive/negative spillover.
Pu Zhou
Fengbin Lu
Shouyang Wang
Published in:
J. Syst. Sci. Complex. (2014)
Keyphrases
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granger causality
spot market
multivariate time series
garch model
impulse response
causal relationships
error correction
financial markets
electricity consumption
futures market
feature extraction
functional connectivity