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Keywords: Cointegration
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Journal Articles
Cointegration and causality in capital markets
Open Access
Journal:
Journal of Capital Markets Studies
Journal of Capital Markets Studies (2018) 2 (1): 82–94.
Published: 01 June 2018
... in energy markets. Design/methodology/approach Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets...
