A test for volatility spillover with application to exchange rates
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Publication:5939173
DOI10.1016/S0304-4076(01)00043-4zbMath1053.62118MaRDI QIDQ5939173
Publication date: 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
GARCH; Causality in variance; Cross-correlation; Exchange rate; Granger causality; Standardized residual; Volatility spillover
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
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