Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
This article adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific-Rim region. This approach allows us to detect not only nonlinear causalities in conditional return (mean) and conditional volatility (...
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| Main Authors: | , , , |
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| Format: | Default Article |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/34984 |
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