Granger-causal analysis of GARCH models: a Bayesian approach
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Cites work
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A Linear Theory for Noncausality
- A causality-in-variance test and its application to financial market prices
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
- A test for volatility spillover with application to exchange rates
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
- Asymptotic theory for a vector ARMA-GARCH model
- Asymptotic theory for multivariate GARCH processes.
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
- Bayesian inference on GARCH models using the Gibbs sampler
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Modified Wald tests under nonregular conditions
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
- On asymptotic theory for multivariate GARCH models
- Second-oder noncausality in multivariate GARCH processes
- Short run and long run causality in time series: inference
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- Tests for departure from normality in the case of linear stochastic processes
Cited in
(12)- Causality and forecasting in temporally aggregated multivariate GARCH processes
- Present value relations, Granger noncausality, and VAR stability
- Variance (Non) Causality in Multivariate GARCH
- Second-oder noncausality in multivariate GARCH processes
- Testing for Granger causality in large mixed-frequency VARs
- Non-causality in bivariate binary time series
- Granger-causality in Markov switching models
- Bayesian causal effects in quantiles: accounting for heteroscedasticity
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
- A wavelet-based approach of testing for Granger causality in the presence of GARCH effects
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Statistical causality for multivariate nonlinear time series via Gaussian process models
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