Browsing Finance & Economics by Subject "Non-Gaussian assumptions"
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Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets
( Elsevier B.V. , 2019 , Article)This paper studies the Granger-causality between the U.S. stock market and five stock markets in so-called ‘debtor countries’ of the European Union: Greece, Ireland, Portugal, Spain and Italy (GIPSI). We consider four novel ...