Table of Contents Author Guidelines Submit a Manuscript
Discrete Dynamics in Nature and Society
Volume 2008, Article ID 138547, 7 pages
http://dx.doi.org/10.1155/2008/138547
Research Article

Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns

1Department of Applied Informatics, University of Macedonia, 156 Egnatia Street, Thessaloniki 54006, Greece
2Department of Economics, University of Macedonia, 156 Egnatia Street, Thessaloniki 54006, Greece

Received 2 October 2007; Accepted 9 May 2008

Academic Editor: Masahiro Yabuta

Copyright © 2008 D. Hristu-Varsakelis and C. Kyrtsou. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. C. W. J. Granger, “Investigating causal relations by econometric methods and cross-spectral methods,” Econometrica, vol. 37, no. 3, pp. 424–438, 1969. View at Publisher · View at Google Scholar
  2. C. Hiemstra and J. Jones, “Testing for linear and nonlinear Granger causality in the stock price-volume relation,” The Journal of Finance, vol. 49, no. 5, pp. 1639–1664, 1994. View at Publisher · View at Google Scholar
  3. C. Diks and V. Panchenko, “A note on the Hiemstra-Jones test for Granger non-causality,” Studies in Nonlinear Dynamics & Econometrics, vol. 9, no. 2, article 4, 7 pages, 2005. View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  4. C. Gouriéroux and J. Jasiak, “Nonlinear causality with applications to liquidity and stochastic volatility,” submitted to Journal of Economic Theory. View at Zentralblatt MATH · View at MathSciNet
  5. A. Peguin-Feissolle, B. Strikholm, and T. Teräsvirta, “Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form,” Working Paper Series in Economics and Finance, Stockholm School of Economics, Stockholm, Sweden, 2007. View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  6. D. Hristu-Varsakelis and C. Kyrtsou, “Testing for Granger causality in the presence of chaotic dynamics,” to appear in Brussels Economic Review. View at Zentralblatt MATH · View at MathSciNet
  7. C. Kyrtsou and W. C. Labys, “Evidence for chaotic dependence between US inflation and commodity prices,” Journal of Macroeconomics, vol. 28, no. 1, pp. 256–266, 2006. View at Publisher · View at Google Scholar
  8. C. Kyrtsou and A. Serletis, “Univariate tests for nonlinear structure,” Journal of Macroeconomics, vol. 28, no. 1, pp. 154–168, 2006. View at Publisher · View at Google Scholar
  9. C. Kyrtsou and M. Terraza, “Is it possible to study chaotic and ARCH behaviour jointly? Application of a noisy Mackey-Glass equation with heteroskedastic errors to the Paris Stock exchange returns series,” Computational Economics, vol. 21, no. 3, pp. 257–276, 2003. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  10. R. A. Gallant and H. White, “On learning the derivatives of an unknown mapping with multilayer feedforward networks,” in Artificial Neural Networks, pp. 206–233, Blackwell, Oxford, UK, 1992. View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  11. W. L. Goffe, G. D. Ferrier, and J. Rogers, “Global optimization of statistical functions with simulated annealing,” Journal of Econometrics, vol. 60, no. 1-2, pp. 65–99, 1994. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  12. C. Kyrtsou and W. C. Labys, “Detecting positive feedback in multivariate time series: the case of metal prices and US inflation,” Physica A, vol. 377, no. 1, pp. 227–229, 2007. View at Publisher · View at Google Scholar
  13. D. A. Dickey and W. A. Fuller, “Distribution of the estimators for autoregressive time series with a unit root,” Journal of the American Statistical Association, vol. 74, no. 366, part 1, pp. 427–431, 1979. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  14. D. A. Dickey and W. A. Fuller, “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, vol. 49, no. 4, pp. 1057–1072, 1981. View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  15. C. Kyrtsou, “Nonlinear features of comovements between commodity prices and inflation,” in Proceedings of the Festschrift Symposium for Walter C. Labys, Agricaltural and Resource Economics, West Virginia University, Morgantown, WVa, USA, May 2007. View at Zentralblatt MATH · View at MathSciNet
  16. P. J. Hess and B.-S. Lee, “Stock returns and inflation with supply and demand disturbances,” The Review of Financial Studies, vol. 12, no. 5, pp. 1203–1218, 1999. View at Publisher · View at Google Scholar
  17. S. Karagianni and C. Kyrtsou, “Analysing and dynamics between US inflation and dow jones index using non-linear methods,” Studies in Nonlinear Dynamics & Econometrics, under review. View at Zentralblatt MATH · View at MathSciNet
  18. W.-X. Zhou and D. Sornette, “Non-parametric determination of real-time lag structure between two time series: the “optimal thermal causal path” method with applications to economic data,” Journal of Macroeconomics, vol. 28, no. 1, pp. 195–224, 2006. View at Publisher · View at Google Scholar