A causality-in-variance test and its application to financial market prices

DOI10.1016/0304-4076(94)01714-XzbMath0842.62095OpenAlexW1973179437MaRDI QIDQ1915462

Yin-Wong Cheung, Lilian K. Ng

Publication date: 4 August 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01714-x

zbMATH Keywords

asymptotic normalitytime seriesstock priceMonte Carlo resultsGARCHvolatility spilloverasymptotic chi-squareresidual cross-correlation functiontest for causality in variance

Mathematics Subject Classification ID

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Cites Work

• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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• Generalized autoregressive conditional heteroscedasticity
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
• Fractional differencing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• 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
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