On testing for causality in variance between two multivariate time series (Q5218935)
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scientific article; zbMATH DE number 7177800
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On testing for causality in variance between two multivariate time series |
scientific article; zbMATH DE number 7177800 |
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On testing for causality in variance between two multivariate time series (English)
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6 March 2020
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causality in variance
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conditional heteroscedasticity
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portmanteau test statistics
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residual cross-correlations
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multivariate time series
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0.8566548228263855
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0.8314176201820374
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0.8314176201820374
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0.8195778131484985
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0.8142691254615784
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