A wavelet-based approach of testing for Granger causality in the presence of GARCH effects

DOI10.1080/03610926.2010.529535zbMATH Open1237.62120OpenAlexW2051883647MaRDI QIDQ2884875FDOQ2884875

Authors: Kristofer Mansson 

Publication date: 18 May 2012

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.529535

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zbMATH Keywords

powersize

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Cites Work

• Ideal spatial adaptation by wavelet shrinkage
• Ten Lectures on Wavelets
• Title not available (Why is that?)
• Granger causality test in the presence of spillover effects

Cited In (5)

• Linear and nonlinear causality tests in an LSTAR model: wavelet decomposition in a nonlinear environment
• Granger causality test in the presence of spillover effects
• Testing instantaneous linear Granger causality in presence of nonlinear dynamics
• The effect of spillover on the Granger causality test
• Granger-causal analysis of GARCH models: a Bayesian approach

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