Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study

DOI10.1515/SNDE-2012-0067MaRDI QIDQ5881695zbMATH OpenOpenAlexFDO

Authors Efthymios G. Pavlidis, Ivan Paya, David Peel

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0067

zbMATH Keywords

additive volatility outlierscausalityexogenous volatility regressorsMonte Carlo simulationsmultivariate ARCHrobust inference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(8)

• The relative performance of bivariate causality tests in small samples
• Nonlinear Granger causality in the currency futures returns
• On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
• Volatility spillover effect on nonlinear causality tests
• Testing for linear and nonlinear Granger causality in the real exchange rate-consumption relation
• Multivariate causality tests with simulation and application
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
• Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns

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