Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study (Q5881695)
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scientific article; zbMATH DE number 7662311
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| 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)
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13 March 2023
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causality
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multivariate ARCH
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exogenous volatility regressors
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additive volatility outliers
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robust inference
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Monte Carlo simulations
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0.91930246
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0.9191165
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0.9168944
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0.9058457
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0.9007491
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0.8841873
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0.8824282
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