A causality-in-variance test and its application to financial market prices (Q1915462)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A causality-in-variance test and its application to financial market prices |
scientific article; zbMATH DE number 889996
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A causality-in-variance test and its application to financial market prices |
scientific article; zbMATH DE number 889996 |
Statements
A causality-in-variance test and its application to financial market prices (English)
0 references
4 August 1996
0 references
GARCH
0 references
stock price
0 references
volatility spillover
0 references
asymptotic normality
0 references
asymptotic chi-square
0 references
test for causality in variance
0 references
residual cross-correlation function
0 references
Monte Carlo results
0 references
time series
0 references
0 references
0 references
0 references
