Testing for causality in variance in the presence of breaks

DOI10.1016/J.ECONLET.2005.05.029MaRDI QIDQ1928692zbMATH OpenOpenAlexFDO

Authors Dick van Dijk, Denise R. Osborn, Marianne Sensier

Publication date 3 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hummedia.manchester.ac.uk/schools/soss/cgbcr/discussionpapers/dpcgbcr45.pdf

zbMATH Keywords

causality testsstructural changevolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• A causality-in-variance test and its application to financial market prices
• A test for volatility spillover with application to exchange rates
• Testing for Granger causality in variance in the presence of causality in mean
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(6)

• A causality-in-variance test and its application to financial market prices
• Testing for Granger causality in variance in the presence of causality in mean
• Testing for causality in variance under nonstationarity in variance
• Sensitivity of the causality in variance tests to GARCH(1,1) processes
• International market links and volatility transmission
• Sign-based tests for structural changes in multivariate volatility

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