Testing for causality in variance under nonstationarity in variance

DOI10.1016/J.ECONLET.2007.02.032zbMath1255.62379OpenAlexW2094076721MaRDI QIDQ1934163

Antonio Rubia, Paulo M. M. Rodrigues

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.02.032

zbMATH Keywords

causalityvolatilitystructural changesvariance breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Unnamed Item

Cites Work

• A causality-in-variance test and its application to financial market prices
• Testing for causality in variance in the presence of breaks
• Unit Root Tests under Time-Varying Variances
• A test for volatility spillover with application to exchange rates

This page was built for publication: Testing for causality in variance under nonstationarity in variance