On granger's predictability of financial markets in theory and practice

Garcia-Ferrer, Antonio, García-Ferrer, Antonio . International Journal of Forecasting 2012. 28 (1) :121-127

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Bibtex

@article{CIS-258630,
  Author = {Garcia-Ferrer, Antonio and García-Ferrer, Antonio},
  Title = {On granger's predictability of financial markets in theory and practice},
  Journal = {International Journal of Forecasting},
  Volume = {28},
  Number = {1},
  Year = {2012},
  Pages = {121--127},
  Keywords = {Contagion, Stock market, Vector autoregression, Variance decomposition, financial crisis, special section 1: The predictability of financial markets, asset market, asset return, market linkage}
}

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