Granger-causal analysis of GARCH models: A Bayesian approach
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Publication:5034254
DOI10.1080/07474938.2015.1092839zbMath1490.62283OpenAlexW2328039246MaRDI QIDQ5034254
Publication date: 24 February 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://fbe.unimelb.edu.au/__data/assets/pdf_file/0011/1429229/1194TomaszWozniak2010.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
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