The effect of spillover on the Granger causality test

DOI10.1080/02664760903046094OpenAlexW1982981056MaRDI QIDQ5123631

Ghazi Shukur, Panagiotis Mantalos

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903046094

zbMATH Keywords

GARCHGranger causalityvolatility spillovercausality in variance

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Unnamed Item ⋮ VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS

Cites Work

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