Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study (Q5881695): Difference between revisions
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Latest revision as of 18:56, 19 March 2024
scientific article; zbMATH DE number 7662311
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study |
scientific article; zbMATH DE number 7662311 |
Statements
Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study (English)
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13 March 2023
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causality
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multivariate ARCH
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exogenous volatility regressors
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additive volatility outliers
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robust inference
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Monte Carlo simulations
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