Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study (Q5881695)
From MaRDI portal
scientific article; zbMATH DE number 7662311
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study |
scientific article; zbMATH DE number 7662311 |
Statements
Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study (English)
0 references
13 March 2023
0 references
causality
0 references
multivariate ARCH
0 references
exogenous volatility regressors
0 references
additive volatility outliers
0 references
robust inference
0 references
Monte Carlo simulations
0 references
