Granger Causality Test in the Presence of Spillover Effects

DOI10.1080/03610910903243695zbMath1182.62179MaRDI QIDQ3652744

Kristofer Månsson, Ghazi Shukur

Publication date: 16 December 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910903243695

zbMATH Keywords

tables; power; size; GARCH; spillover; test

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

65C05: Monte Carlo methods

91B84: Economic time series analysis

Related Items

Semi-strong linearity testing in linear models with dependent but uncorrelated errors, A New Ridge Regression Causality Test in the Presence of Multicollinearity, A Wavelet-Based Approach of Testing for Granger Causality in the Presence of GARCH Effects

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