Second-oder noncausality in multivariate GARCH processes

DOI10.1111/1467-9892.00197MaRDI QIDQ2742779zbMATH OpenOpenAlexFDO

Authors F. Comte, Offer Lieberman

Publication date 23 September 2001

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00197

zbMATH Keywords

ARMA modelsGARCH processesnoncausalityVARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(15)

• Asymptotic theory for multivariate GARCH processes.
• A Lagrange multiplier test for causality in variance
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Multivariate hyper-rotated GARCH-BEKK
• Factor double autoregressive models with application to simultaneous causality testing
• Inference and testing on the boundary in extended constant conditional correlation GARCH models
• Variance (Non) Causality in Multivariate GARCH
• Causality and forecasting in temporally aggregated multivariate GARCH processes
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Robust score and portmanteau tests of volatility spillover
• Granger-causal analysis of GARCH models: a Bayesian approach
• On testing for causality in variance between two multivariate time series
• A practical multivariate approach to testing volatility spillover
• A doubly self-exciting Poisson model for describing scoring levels in NBA basketball
• A consistent nonparametric test for nonlinear causality -- specification in time series regression

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