A test for volatility spillover with application to exchange rates (Q5939173)
From MaRDI portal
scientific article; zbMATH DE number 1625293
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A test for volatility spillover with application to exchange rates |
scientific article; zbMATH DE number 1625293 |
Statements
A test for volatility spillover with application to exchange rates (English)
0 references
2001
0 references
Causality in variance
0 references
Cross-correlation
0 references
Exchange rate
0 references
GARCH
0 references
Granger causality
0 references
Standardized residual
0 references
Volatility spillover
0 references
0 references
0 references
