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Keywords: Granger causality
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Journal Articles

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets

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Imen Omri
Journal: The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (2): 226–243.
https://doi.org/10.1108/JRF-06-2022-0130
Published: 17 January 2023
....; The author uses vector autoregressive (VAR) model, Granger causality test and impulse response function (IRF) to estimate the results of the study. Findings Empirical results show a significant unidirectional volatility spillover impact from emerging markets to Bitcoin and only six stock markets...
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Journal Articles

Forward-looking financial risk management and the housing market in the United Kingdom: is there a role for sentiment indicators?

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Frederik Kunze, Tobias Basse, Miguel Rodriguez Gonzalez, Günter Vornholz
Journal: The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (5): 659–678.
https://doi.org/10.1108/JRF-10-2019-0191
Published: 21 September 2020
... is the RICS Housing Market Survey and the Nationwide House Price Index – covering the period from January 2000 to December 2018. Furthermore, the authors also analyze the stability of the implemented Granger causality tests. In sum, the authors found clear empirical evidence for unidirectional Granger...
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