Pages that link to "Item:Q2742779"
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The following pages link to Second-oder noncausality in multivariate GARCH processes (Q2742779):
Displaying 14 items.
- Inference and testing on the boundary in extended constant conditional correlation GARCH models (Q341884) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- A consistent nonparametric test for nonlinear causality -- specification in time series regression (Q738056) (← links)
- Asymptotic theory for multivariate GARCH processes. (Q1867194) (← links)
- A Lagrange multiplier test for causality in variance (Q1929453) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Multivariate hyper-rotated GARCH-BEKK (Q2151746) (← links)
- Factor double autoregressive models with application to simultaneous causality testing (Q2437865) (← links)
- Variance (Non) Causality in Multivariate GARCH (Q3432677) (← links)
- Causality and forecasting in temporally aggregated multivariate GARCH processes (Q3566442) (← links)
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (Q3632428) (← links)
- Granger-causal analysis of GARCH models: A Bayesian approach (Q5034254) (← links)
- On testing for causality in variance between two multivariate time series (Q5218935) (← links)
- A practical multivariate approach to testing volatility spillover (Q6094458) (← links)
