Testing for causality in variance under nonstationarity in variance
From MaRDI portal
Publication:1934163
DOI10.1016/j.econlet.2007.02.032zbMath1255.62379MaRDI QIDQ1934163
Antonio Rubia, Paulo M. M. Rodrigues
Publication date: 28 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2007.02.032
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
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