Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study

DOI10.1515/snde-2012-0067zbMath1506.62526OpenAlexW2083463376MaRDI QIDQ5881695

Ivan Paya, Efthymios G. Pavlidis, David A. Peel

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0067

zbMATH Keywords

Monte Carlo simulationscausalityrobust inferencemultivariate ARCHadditive volatility outliersexogenous volatility regressors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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