Testing for causality in variance in the presence of breaks

DOI10.1016/J.ECONLET.2005.05.029zbMath1254.91688OpenAlexW2164529742MaRDI QIDQ1928692

Denise R. Osborn, Dick van Dijk, Marianne Sensier

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hummedia.manchester.ac.uk/schools/soss/cgbcr/discussionpapers/dpcgbcr45.pdf

zbMATH Keywords

causality testsvolatilitystructural change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (3)

Unnamed Item ⋮ Testing for causality in variance under nonstationarity in variance ⋮ International market links and volatility transmission

Cites Work

• A causality-in-variance test and its application to financial market prices
• Testing for Granger causality in variance in the presence of causality in mean
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A test for volatility spillover with application to exchange rates

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