A test for volatility spillover with application to exchange rates (Q5939173): Difference between revisions

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Revision as of 18:53, 3 June 2024

scientific article; zbMATH DE number 1625293
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English
A test for volatility spillover with application to exchange rates
scientific article; zbMATH DE number 1625293

    Statements

    A test for volatility spillover with application to exchange rates (English)
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    2001
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    Causality in variance
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    Cross-correlation
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    Exchange rate
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    GARCH
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    Granger causality
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    Standardized residual
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    Volatility spillover
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