Testing for Granger causality in variance in the presence of causality in mean
From MaRDI portal
Publication:1927607
DOI10.1016/j.econlet.2004.04.006zbMath1255.62375MaRDI QIDQ1927607
Nikitas Pittis, Theologos Pantelidis
Publication date: 1 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2004.04.006
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
65C05: Monte Carlo methods
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