A causality-in-variance test and its application to financial market prices (Q1915462): Difference between revisions
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Revision as of 06:14, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A causality-in-variance test and its application to financial market prices |
scientific article |
Statements
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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