Testing for Granger causality in variance in the presence of causality in mean (Q1927607): Difference between revisions

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+https://doi.org/10.1016/j.econlet.2004.04.006
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+W2006655012
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@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+A causality-in-variance test and its application to financial market prices
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+FOURTH MOMENT STRUCTURE OF THE GARCH(<i>p</i>,<i>q</i>) PROCESS
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+A test for volatility spillover with application to exchange rates
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+Optimal Inference in Cointegrated Systems
@@ Property / cites work: Optimal Inference in Cointegrated Systems / rank @@
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+Publication:1927607