On testing for causality in variance between two multivariate time series
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Cites work
- A causality-in-variance test and its application to financial market prices
- A Lagrange multiplier test for causality in variance
- A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
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Cited in
(20)- The relative performance of bivariate causality tests in small samples
- A causality-in-variance test and its application to financial market prices
- Testing for causality in variance in the presence of breaks
- A Lagrange multiplier test for causality in variance
- Robust causality test of infinite variance processes
- Factor double autoregressive models with application to simultaneous causality testing
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- A distance-based test of independence between two multivariate time series
- Second-oder noncausality in multivariate GARCH processes
- Variance (Non) Causality in Multivariate GARCH
- Multivariate-based causality tests of twin deficits in the US
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
- New HSIC-based tests for independence between two stationary multivariate time series
- Granger-causal analysis of GARCH models: a Bayesian approach
- A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
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- Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
- Multivariate causality tests with simulation and application
- Testing for correlation between two time series using a parametric bootstrap
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