Testing for causality in variance in the presence of breaks
From MaRDI portal
Publication:1928692
DOI10.1016/j.econlet.2005.05.029zbMath1254.91688MaRDI QIDQ1928692
Denise R. Osborn, Dick van Dijk, Marianne Sensier
Publication date: 3 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://hummedia.manchester.ac.uk/schools/soss/cgbcr/discussionpapers/dpcgbcr45.pdf
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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