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Cited by 45 publications
(33 citation statements)
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“…where (6) It should be noted that prior to the calculation of cross-lagged correlations, standardized conditional mean returns were aligned as specified in Section 2. Note however, that k may sometimes (in addition to cases described by Eq.…”
Section: The Granger Causality Testmentioning
confidence: 99%
See 4 more Smart Citations
“…where (6) It should be noted that prior to the calculation of cross-lagged correlations, standardized conditional mean returns were aligned as specified in Section 2. Note however, that k may sometimes (in addition to cases described by Eq.…”
Section: The Granger Causality Testmentioning
confidence: 99%
“…The asymptotic distribution of Q(M) under the null hypothesis follows the standardized normal distribution. 6 In our empirical application, the choice of M is 5, as it corresponds to one trading week, which also has implications for the properties of the dependent variable used in the spatial regression models described in Section 3.5. Thus, this variable becomes:…”
Section: The Granger Causality Testmentioning
confidence: 99%
See 3 more Smart Citations