The Causality in Cointegrated Processes: Evidences on Exchange Rate and Interest Rate
碩士 === 淡江大學 === 財務金融學系 === 91 === We always neglect cointegrated effect in Granger causality. If cointegration exist in time series and we don’t consider it, using differential series do the Granger causality straightforwardly, or even consider it but using ECM does, it maybe have some problems. Thi...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45440990407432645230 |