A Lagrange multiplier test for causality in variance

DOI10.1016/j.econlet.2006.04.008zbMath1254.91664OpenAlexW1991825281MaRDI QIDQ1929453

Helmut Herwartz, Christian M. Hafner

Publication date: 8 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.04.008

zbMATH Keywords

multivariate volatilitycausality testing

Mathematics Subject Classification ID

Economic time series analysis (91B84) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (7)

Volatility Spillovers Between Oil Prices and BIST (Borsa Istanbul) Dividend Indexes ⋮ Multivariate hyper-rotated GARCH-BEKK ⋮ Bootstrapping volatility spillover index ⋮ On the univariate representation of BEKK models with common factors ⋮ Factor double autoregressive models with application to simultaneous causality testing ⋮ On testing for causality in variance between two multivariate time series ⋮ Modelling Multivariate Volatilities via Conditionally Uncorrelated Components

Cites Work

• Evaluating GARCH models.
• A causality-in-variance test and its application to financial market prices
• Second-Order Noncausality in Multivariate GARCH Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Prediction with a Generalized Cost of Error Function

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