A causality-in-variance test and its application to financial market prices (Q1915462): Difference between revisions

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Latest revision as of 10:39, 30 July 2024

scientific article
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A causality-in-variance test and its application to financial market prices
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    A causality-in-variance test and its application to financial market prices (English)
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    4 August 1996
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    GARCH
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    stock price
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    volatility spillover
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    asymptotic normality
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    asymptotic chi-square
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    test for causality in variance
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    residual cross-correlation function
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    Monte Carlo results
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    time series
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