Pages that link to "Item:Q1915462"

The following pages link to A causality-in-variance test and its application to financial market prices (Q1915462):

Displaying 42 items.

• Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
• A new approach to model financial markets (Q394485) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• International market links and volatility transmission (Q528027) (← links)
• Multivariate causality tests with simulation and application (Q553011) (← links)
• Volatility contagion: a range-based volatility approach (Q738077) (← links)
• Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns (Q937012) (← links)
• Bayesian causal effects in quantiles: accounting for heteroscedasticity (Q961391) (← links)
• Dynamic causality between stock return and exchange rate: is stock-oriented hypothesis more relevant in Malaysia? (Q1627835) (← links)
• Measuring network systemic risk contributions: a leave-one-out approach (Q1734536) (← links)
• Testing for Granger causality in variance in the presence of causality in mean (Q1927607) (← links)
• Testing for causality in variance in the presence of breaks (Q1928692) (← links)
• A model-free characterization of causality (Q1929121) (← links)
• A Lagrange multiplier test for causality in variance (Q1929453) (← links)
• Testing for causality in variance under nonstationarity in variance (Q1934163) (← links)
• Testing linear causality in mean when the number of estimated parameters is high (Q1952197) (← links)
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages (Q2246755) (← links)
• Robust causality test of infinite variance processes (Q2305988) (← links)
• Factor double autoregressive models with application to simultaneous causality testing (Q2437865) (← links)
• Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models (Q2629585) (← links)
• A theoretical and simulation analysis on the power of the frequency domain causality test (Q2657970) (← links)
• A distance-based test of independence between two multivariate time series (Q2692924) (← links)
• Variance (Non) Causality in Multivariate GARCH (Q3432677) (← links)
• Causality and forecasting in temporally aggregated multivariate GARCH processes (Q3566442) (← links)
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model (Q3566443) (← links)
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (Q3631467) (← links)
• Information Transmission Across Eurodollar Futures Markets (Q4216111) (← links)
• Distribution of the cross‐correlations of squared residuals in ARIMA models (Q4344824) (← links)
• Extreme risk spillover network: application to financial institutions (Q4555151) (← links)
• Change Detection and the Causal Impact of the Yield Curve (Q4556521) (← links)
• (Q4986371) (← links)
• Granger-causal analysis of GARCH models: A Bayesian approach (Q5034254) (← links)
• Volatility Spillovers Between Oil Prices and BIST (Borsa Istanbul) Dividend Indexes (Q5049446) (← links)
• (Q5207165) (← links)
• On testing for causality in variance between two multivariate time series (Q5218935) (← links)
• Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period (Q5440108) (← links)
• Financial contagion, spillovers and causality in the Markov switching framework (Q5697343) (← links)
• Testing for correlation between two time series using a parametric bootstrap (Q5861478) (← links)
• Testing for Granger-causality in quantiles (Q5862503) (← links)
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence (Q5931138) (← links)
• Annals of econometrics. Studies in estimation and testing. 5th conference, Camp econometrics, Univ. of Southern California, Catalina Island, CA, USA, May 1998 (Q5939168) (← links)
• A test for volatility spillover with application to exchange rates (Q5939173) (← links)