Hiemstra and Jones(1994) argued that a significant negative value of their nonlinear Granger causality test(H-J test) means there is a confounding effect in the prediction.However,from the theoretical analysis and Monte Carlo simulations,the authors find that H-J test is significantly negative under the circumstance of negative volatility spillover.Furthermore,the authors put forward the conceptions of positive/negative nonlinear spillover,and apply H-J test to examine positive/negative nonlinea...

【文章頁(yè)數(shù)】：14 頁(yè)

【文章目錄】：
1 Introduction 2 Analysis of H-J Test and Monte Carlo Simulations
2.1 Further Analysis of H-J Test
    1) Mean spillover
    2) Volatility spillover
2.2 Monte Carlo Simulations 3 Empirical Study on CSI300 Futures and Spot Markets 4 Summary



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