Variance (Non) Causality in Multivariate GARCH
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Publication:3432677
DOI10.1080/07474930600972178zbMath1108.62085OpenAlexW1991188287MaRDI QIDQ3432677
Publication date: 18 April 2007
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930600972178
Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL, On testing for causality in variance between two multivariate time series, Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- A causality-in-variance test and its application to financial market prices
- Second-Order Noncausality in Multivariate GARCH Processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
