Unit Root, Cointegration, Granger-Causality, Threshold Regression and Other Econometric Modeling with Economics and Financial Data

單根,共積,格蘭傑爾因果,門檻迴歸及其他計量經濟模式

Chin-Wei Yang, 楊慶偉, 黃柏農

• Publisher: EHGBooks
• Year: 2018
• Edition: 1
• eBook ISBN:
  9781647848583
• Topic: Mathematics
• Subtopic: Desktop Applications
• Index: Mathematics

Unit Root, Cointegration, Granger-Causality, Threshold Regression and Other Econometric Modeling

with Economics and Finance Data

Bwo-Nung Huang and Chin-Wei Yang

EHG Books Micro-Publishing Company, Inc. USA

Visit Amazon.com for ordering

Registered for US Copyright © 2018

No part or any of the book may be reproduced or

translated into other languages without permission

First edition: 2018 by EHG Books

Copyright © 2018 by Bwo-Nung Huang and Chin-Wei Yang

Manufactured in United States

Permission required for reproduction,

or translation in whole or part.

Contact: [email protected]

ISBN-13：978-1-62503-467-0

Table of Contents

Preface I. The Granger Causality Models in Mean and Variance 1. A Bivariate Causality Between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu C.W.J. Granger, Bwo-Nung Huang and Chin-Wei Yang 2. An Analysis of Factors Affecting Price Volatility of the US Oil Market Chin-Wei Yang, Ming J. Hwang and Bwo-Nung Huang 3. Causality and Cointegration of Stock Markets among the US, Japan and South China Growth Triangle Bwo-Nung Huang, Chin-Wei Yang and J.W. Hu 4. Long-run Purchasing Power Parity Revisited : A Monte Carlo Simulation Bwo-Nung Huang and Chin-Wei Yang 5. Oil Price Movements and Stock Market Revisited: A Case of Sector Stock Price Indexes in the G-7 Countries B.J.Lee , Chin-Wei Yang and Bwo-Nung Huang 6. Volatility of Changes in G-5 Exchange Rates and Its Market Transmission Mechanism Bwo-Nung Huang and Chin-Wei Yang 7. Stock Market Integration —An Application of the Stochastic Permanent Breaks Model Bwo-Nung Huang and Robert C.W. Fok 8. State Dependent Correlation and Lead-Lag Relation when Volatility of Markets is Large: Evidence from the US and Asian Emerging Markets Bwo-Nung Huang, Soong-Nark Sohng and Chin-Wei Yang 9. Oil Price Volatility Ming J. Hwang, Chin-Wei Yang , Bwo-Nung Huang and H. Ohta II. Granger Causality Models Using Panel Data 1. Causal Relationship between Energy Consumption and GDP Growth Revisited: A Dynamic Panel Data Approach Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang 2. Military Expenditure and Economic Growth across Different Groups: A Dynamic Panel Granger-Causality Approach H. C. Chang, Bwo-Nung Huang and Chin-Wei Yang 3. New Evidence on Demand for Cigarette: A Panel Data Approach Bwo-Nung Huang, Chin-Wei Yang and Ming J. Hwang III. Granger Causality Models with Thresholds 1. Demand for Cigarette Revisited: An Application of the Threshold Regression Model Bwo-Nung Huang and Chin-Wei Yang 2. Does More Energy Consumption Bolster Economic Growth? An Application of Nonlinear Threshold Model Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang 3. The Dynamics of a Nonlinear Relationship between Crude Oil Spot and Futures Prices: A Multivariate Threshold Regression Approach Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang 4. On the Relationship between Military Expenditure, Threat and Economic Growth: A Nonlinear Approach A.J. Yang, William N. Trumbull, Chin-Wei Yang and Bwo-Nung Huang 5. Factors Affecting an Economy‘s Tolerance and Delay of Response to the Impact of a Positive Oil Price Shock Bwo-Nung Huang 6. Defense Spending and Economic Growth across the Taiwan Strait: A Threshold Regression Model Chung-Nang Lai, Bwo-Nung Huang and Chin-Wei Yang 7. Tourism Development and Economic Growth: A Nonlinear Approach Wan-Chen Po and Bwo-Nung Huang IV. Indirect Granger Causality, Random Walk, Long-term Memory, Volatility of Stock Market and Other Econometric Models Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causality Model Bwo-Nung Huang and Chin-Wei Yang Bwo-Nung Huang and Chin-Wei Yang the New York Stock Exchange Using Five-Minute Data Bwo-Nung Huang and Chin-Wei Yang Bwo-Nung Huang 5. The Impact of Financial Liberalization on Stock Market Volatility in Emerging Markets Bwo-Nung Huang and Chin-Wei Yang 6. An Analysis of Exchange Rate Linkage Effect: An Application of the Multivariate Correlation Analysis Bwo-Nung Huang and Chin-Wei Yang 7. An Empirical Investigation of Trading Volume and Return Volatility of the Taiwan Stock Market Bwo-Nung Huang and Chin-Wei Yang 8. The Impact of S...

Table of contents

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