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)

Review text

The purpose of this paper is to characterize variance noncausality in a multivariate framework. Two new definitions of variance noncausality are given and are related to the second-oder noncausality concept introduced in the bivariate setting by \textit{C.W.J. Granger, R.P. Robins} and \textit{R.F. Engle} [Wholesale and retail prices: bivariate time series modeling with forecastable error variances. In: D. Belsey and E. Kuh (eds.), Model reliability. Boston (1986)]. The first one is a Grange-type noncausality and the second one is a linear Granger noncausality through projections on Hilbert spaces. Connections between mean, second-oder and variance noncausality concepts are drawn. Sufficient conditions for second-oder noncausality in multivariate GARCH are given. The results are illustrated by a trivariate model of daily financial returns.

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(15)

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• Inference and testing on the boundary in extended constant conditional correlation GARCH models
• Variance (Non) Causality in Multivariate GARCH
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• 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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