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A test for multivariate ARCH effects

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Cited by:

  1. Hatemi-J, Abdulnasser & Uddin, Gazi Salah, 2012. "Is the causal nexus of energy utilization and economic growth asymmetric in the US?," Economic Systems, Elsevier, vol. 36(3), pages 461-469.
  2. Hatemi-J, Abdulnasser, 2012. "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, vol. 26(2), pages 273-280.
  3. Abdulnasser Hatemi-J, 2024. "Efficient Asymmetric Causality Tests," Papers 2408.03137, arXiv.org, revised Oct 2024.
  4. Scott Hacker & Abdulnasser Hatemi‐J, 2012. "A bootstrap test for causality with endogenous lag length choice: theory and application in finance," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 39(2), pages 144-160, May.
  5. Dakpogan, Arnaud & Smit, Eon, 2018. "Effect of negative shocks to electricity consumption on negative shocks to economic growth in Benin," MPRA Paper 89539, University Library of Munich, Germany.
  6. Hong, Yanran & Cao, Shijiao & Xu, Pengfei & Pan, Zhigang, 2024. "Interpreting the effect of global economic risks on crude oil market: A supply-demand perspective," International Review of Financial Analysis, Elsevier, vol. 91(C).
  7. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 539-546.
  8. Mohamed Arouri & Gazi Salah Uddin & Phouphet Kyophilavong & Frédéric Teulon & Aviral Kumar Tiwari, 2014. "Energy Utilization and Economic Growth in France: Evidence from Asymmetric Causality Test," Working Papers 2014-102, Department of Research, Ipag Business School.
  9. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working Papers 1208, University of Nevada, Las Vegas , Department of Economics.
  10. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
  11. Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
  12. Abdulnasser Hatemi-J & Abdulrahman Al Shayeb & Eduardo Roca, 2017. "The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests," Applied Economics, Taylor & Francis Journals, vol. 49(16), pages 1584-1592, April.
  13. Tiwari, Aviral Kumar, 2014. "The asymmetric Granger-causality analysis between energy consumption and income in the United States," Renewable and Sustainable Energy Reviews, Elsevier, vol. 36(C), pages 362-369.
  14. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2014. "Purchasing Power Parity Between the UK and Germany: The Euro Era," Open Economies Review, Springer, vol. 25(4), pages 677-699, September.
  15. Zhou, Wei & Zhong, Guang-Yan & Li, Jiang-Cheng, 2022. "Stability of financial market driven by information delay and liquidity in delay agent-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  16. A. Hatemi-J & R. S. Hacker, 2009. "Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?," Applied Economics, Taylor & Francis Journals, vol. 41(9), pages 1121-1125.
  17. Cooray, Arusha & Gangopadhyay, Partha & Das, Narasingha, 2023. "Causality between volatility and the weekly economic index during COVID-19: The predictive power of efficient markets and rational expectations," International Review of Financial Analysis, Elsevier, vol. 89(C).
  18. Serletis, Apostolos & Xu, Libo, 2019. "The ethanol mandate and crude oil and biofuel agricultural commodity price dynamics," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
  19. Al Shayeb, Abdulrahman & Hatemi-J , Abdulnasser, 2013. "An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato az," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(4), pages 425-438.
  20. Abdulnasser Hatemi-J, 2024. "Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin," Papers 2407.19932, arXiv.org, revised Aug 2024.
  21. Huo, Dongxia & Bagadeem, Salim & Elsherazy, Tarek Abbas & Nasnodkar, Siddhesh Prabhu & Kalra, Akash, 2023. "Renewable energy consumption and the rising effect of climate policy uncertainty: Fresh policy analysis from China," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1459-1474.
  22. Abdulnasser Hatemi-J & Youssef El-Khatib, 2016. "An extension of the asymmetric causality tests for dealing with deterministic trend components," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 4033-4041, September.
  23. Chao Liang & Yanran Hong & Luu Duc Toan Huynh & Feng Ma, 2023. "Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1543-1567, May.
  24. Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010. "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 47-54, January.
  25. R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor & Francis Journals, vol. 38(13), pages 1489-1500.
  26. Abdulnasser Hatemi-J, 2021. "Dynamic Asymmetric Causality Tests with an Application," Papers 2106.07612, arXiv.org, revised Jun 2021.
  27. Tsung-pao Wu & Dian Fan & Tsangyao Chang, 2016. "The Relationship Between Globalization And Military Expenditures In G7 Countries: Evidence From A Panel Data Analysis," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 285-302.
  28. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  29. Hong, Yanran & Wang, Lu & Ye, Xiaoqing & Zhang, Yaojie, 2022. "Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis," Renewable Energy, Elsevier, vol. 196(C), pages 535-546.
  30. Li, Jiang-Cheng & Tao, Chen & Li, Hai-Feng, 2022. "Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  31. Chang, Tsangyao & Cheng, Shu-Ching & Pan, Guochen & Wu, Tsung-pao, 2013. "Does globalization affect the insurance markets? Bootstrap panel Granger causality test," Economic Modelling, Elsevier, vol. 33(C), pages 254-260.
  32. Sarmiento, Julio & Cayon, Edgardo & Collazos, María & Sandoval, Juan S., 2017. "Positive asymmetric information in volatile environments: The black market dollar and sovereign bond yields in Venezuela," Research in International Business and Finance, Elsevier, vol. 41(C), pages 547-555.
  33. Oscar Espinosa & Fabio Nieto, 2020. "A study on the leverage effect on financial series using a TAR model: a Bayesian approach," Papers 2002.05319, arXiv.org, revised Feb 2020.
  34. Bayram Veli Doyar, 2019. "R&D expenditures by field of science and GDP: Which causes which in Canada?," Economics and Business Letters, Oviedo University Press, vol. 8(1), pages 31-40.
  35. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
  36. Ali Koçyigit & Mustafa Ercan Kiliç & Tayfur Bayat, 2015. "A Causality Test on the Gibson Paradox in Turkey," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(10), pages 1134-1147, October.
  37. Ming Zhong & Tsangyao Chang & Samrat Goswami & Rangan Gupta, 2014. "The Nexus between Military Expenditures and Economic Growth in the BRICS and the US: A Bootstrap Panel Causality Test," Working Papers 201449, University of Pretoria, Department of Economics.
  38. Hummera Saleem & Malik Shahzad Shabbir & Syed Ali Raza Shah & Jalal Shah, 2021. "Nexus between Foreign Direct Investment and Poverty Reduction: A case of Pakistans," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(3), pages 272-280, December.
  39. Payam MOHAMMAD ALIHA & Tamat SARMIDI & Fathin FAIZAH SAID, 2018. "Investigating The Impact Of Financial Innovation On The Volatility Of The Demand For Money In The United Stated In The Context Of An Arch/Garch Model," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(1), pages 19-26, June.
  40. Ikhsan Ikhsan & Kamal Fachrurrozi & Muhammad Nasir & Elfiana Elfiana & Nurjannah Nurjannah, 2022. "Energy-Growth Nexus in Indonesia: Fresh Evidence from Asymmetric Causality Test," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 396-400.
  41. Abdulnasser Hatemi-J, 2016. "On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments," Applied Economics Letters, Taylor & Francis Journals, vol. 23(6), pages 424-427, April.
  42. Abdulnasser Hatemi-J & Mrittika Shamsuddin, 2016. "The causal interaction between financial development and human development in Bangladesh," Applied Economics Letters, Taylor & Francis Journals, vol. 23(14), pages 995-998, September.
  43. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
  44. Chen, Sen-Sung & Cheng, Shu-Ching & Pan, Guochen & Wu, Tsung-Pao, 2013. "The relationship between globalization and insurance activities: A panel data analysis," Japan and the World Economy, Elsevier, vol. 28(C), pages 151-157.
  45. Hong, Yanran & Ma, Feng & Wang, Lu & Liang, Chao, 2022. "How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test," Resources Policy, Elsevier, vol. 78(C).
  46. Junttila, Juha & Perttunen, Jukka & Raatikainen, Juhani, 2021. "Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks," International Review of Financial Analysis, Elsevier, vol. 75(C).
  47. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, vol. 25(3), pages 329-334, September.
  48. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
  49. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 80495, University Library of Munich, Germany.
  50. Lokman Gunduz & Abdulnasser Hatemi-J, 2005. "Is the tourism-led growth hypothesis valid for Turkey?," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 499-504.
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