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

DOI10.1080/03610926.2010.529535MaRDI QIDQ2884875zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Granger-causal analysis of GARCH models: a Bayesian approach
• Testing for Granger causality in variance in the presence of causality in mean
• Testing instantaneous linear Granger causality in presence of nonlinear dynamics
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Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• Granger causality test in the presence of spillover effects
• Ideal spatial adaptation by wavelet shrinkage
• Ten Lectures on Wavelets

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
• Granger-causal analysis of GARCH models: a Bayesian approach
• The effect of spillover on the Granger causality test
• Testing instantaneous linear Granger causality in presence of nonlinear dynamics

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