A test for volatility spillover with application to exchange rates (Q5939173): Difference between revisions
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Revision as of 01:44, 30 January 2024
scientific article; zbMATH DE number 1625293
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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