Testing for Granger causality in variance in the presence of causality in mean

DOI10.1016/J.ECONLET.2004.04.006zbMath1255.62375OpenAlexW2006655012MaRDI QIDQ1927607

Nikitas Pittis, Theologos Pantelidis

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.04.006

zbMATH Keywords

GARCHcausality in variance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (4)

Testing for causality in variance in the presence of breaks ⋮ Testing linear causality in mean when the number of estimated parameters is high ⋮ Factor double autoregressive models with application to simultaneous causality testing ⋮ International market links and volatility transmission

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• A causality-in-variance test and its application to financial market prices
• Optimal Inference in Cointegrated Systems
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• A test for volatility spillover with application to exchange rates

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