On testing for causality in variance between two multivariate time series (Q5218935)
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scientific article; zbMATH DE number 7177800
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On testing for causality in variance between two multivariate time series |
scientific article; zbMATH DE number 7177800 |
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On testing for causality in variance between two multivariate time series (English)
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6 March 2020
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causality in variance
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conditional heteroscedasticity
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portmanteau test statistics
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residual cross-correlations
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multivariate time series
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