Volatility spillover effect on nonlinear causality tests

DOI10.17654/TS054040407MaRDI QIDQ5204676zbMATH OpenOpenAlexWikidataFDO

Authors Daiki Maki

Publication date 5 December 2019

Published in Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/ts054040407

zbMATH Keywords

nonlinear causality testsvolatility spillover effect

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
• The effect of spillover on the Granger causality test
• Granger causality test in the presence of spillover effects
• Sensitivity of the causality in variance tests to GARCH(1,1) processes
• A test for volatility spillover with application to exchange rates

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bootstrap procedures under some non-i.i.d. models
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Linear and nonlinear causality tests in an LSTAR model: wavelet decomposition in a nonlinear environment
• Multivariate Stochastic Variance Models
• Multivariate Stochastic Volatility: A Review
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
• Testing linearity against smooth transition autoregressive models
• The effect of spillover on the Granger causality test
• The wild bootstrap, tamed at last

Cited in

(4)

• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
• The effect of spillover on the Granger causality test
• Sensitivity of the causality in variance tests to GARCH(1,1) processes
• A test for volatility spillover with application to exchange rates

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