A Wavelet-Based Approach of Testing for Granger Causality in the Presence of GARCH Effects

DOI10.1080/03610926.2010.529535zbMath1237.62120OpenAlexW2051883647MaRDI QIDQ2884875

Kristofer Månsson

Publication date: 18 May 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.529535

zbMATH Keywords

powersize

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Cites Work

• Granger Causality Test in the Presence of Spillover Effects
• Ten Lectures on Wavelets
• Ideal spatial adaptation by wavelet shrinkage
• Unnamed Item

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