Second-Order Noncausality in Multivariate GARCH Processes

DOI10.1111/1467-9892.00197zbMath0972.62075OpenAlexW2103157190MaRDI QIDQ2742779

Fabienne Comte, Offer Lieberman

Publication date: 23 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00197

zbMATH Keywords

ARMA modelsnoncausalityVARMA modelsGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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