scientific article; zbMATH DE number 7148606

zbMath1449.62185MaRDI QIDQ5207165

Farrukh Javed, Panagiotis Mantalos

Publication date: 8 January 2020

Full work available at URL: http://chjs.mat.utfsm.cl/volumes/06/01/Javed_Mantalos(2015).pdf#vol6-number1-2015

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

causalityGARCHvolatilityspillover

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• A causality-in-variance test and its application to financial market prices
• Testing for causality in variance in the presence of breaks
• Testing for causality in variance under nonstationarity in variance
• The effect of spillover on the Granger causality test
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• A test for volatility spillover with application to exchange rates

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