Second-oder noncausality in multivariate GARCH processes (Q2742779)
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: Second-oder noncausality in multivariate GARCH processes |
scientific article; zbMATH DE number 1650420
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second-oder noncausality in multivariate GARCH processes |
scientific article; zbMATH DE number 1650420 |
Statements
23 September 2001
0 references
noncausality
0 references
ARMA models
0 references
GARCH processes
0 references
VARMA models
0 references
Second-oder noncausality in multivariate GARCH processes (English)
0 references
The purpose of this paper is to characterize variance noncausality in a multivariate framework. Two new definitions of variance noncausality are given and are related to the second-oder noncausality concept introduced in the bivariate setting by \textit{C.W.J. Granger, R.P. Robins} and \textit{R.F. Engle} [Wholesale and retail prices: bivariate time series modeling with forecastable error variances. In: D. Belsey and E. Kuh (eds.), Model reliability. Boston (1986)]. The first one is a Grange-type noncausality and the second one is a linear Granger noncausality through projections on Hilbert spaces. Connections between mean, second-oder and variance noncausality concepts are drawn. Sufficient conditions for second-oder noncausality in multivariate GARCH are given. The results are illustrated by a trivariate model of daily financial returns.
0 references
