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Granger-causal analysis of GARCH models: A Bayesian approach - MaRDI portal

Granger-causal analysis of GARCH models: A Bayesian approach (Q5034254)

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scientific article; zbMATH DE number 7481027
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English
Granger-causal analysis of GARCH models: A Bayesian approach
scientific article; zbMATH DE number 7481027

    Statements

    title
    Granger-causal analysis of GARCH models: A Bayesian approach (English)
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    author
    Tomasz Woźniak
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    publication date
    24 February 2022
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    zbMATH Keywords
    Bayesian hypotheses assessment
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    second-order noncausality
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    VAR-GARCH models
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    cites work
    Q5312885
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62F15
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    62P20
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    zbMATH DE Number
    7481027
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    OpenAlex ID
    W2328039246
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