On testing for causality in variance between two multivariate time series

DOI10.1080/00949655.2012.679941zbMath1453.62647OpenAlexW1976041181MaRDI QIDQ5218935

Herbert Nkwimi Tchahou, Pierre Duchesne

Publication date: 6 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2012.679941

zbMATH Keywords

multivariate time seriesconditional heteroscedasticitycausality in varianceportmanteau test statisticsresidual cross-correlations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

Related Items (3)

Unnamed Item ⋮ A distance-based test of independence between two multivariate time series ⋮ Testing for correlation between two time series using a parametric bootstrap

Uses Software

• StFinMetrics

Cites Work

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