Variance (Non) Causality in Multivariate GARCH
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Recommendations
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Cites work
- A causality-in-variance test and its application to financial market prices
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Second-oder noncausality in multivariate GARCH processes
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
Cited in
(7)- Causality and forecasting in temporally aggregated multivariate GARCH processes
- On testing for causality in variance between two multivariate time series
- Second-oder noncausality in multivariate GARCH processes
- Bayesian causal effects in quantiles: accounting for heteroscedasticity
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
- Granger-causal analysis of GARCH models: a Bayesian approach
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
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