Causality tests and conditional heteroskedasticity: Monte Carlo evidence
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Publication:5931138
DOI10.1016/S0304-4076(00)00072-5zbMath0967.62100OpenAlexW1540679010MaRDI QIDQ5931138
Publication date: 2 September 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00072-5
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Cites Work
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- ARCH modeling in finance. A review of the theory and empirical evidence
- A causality-in-variance test and its application to financial market prices
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- On a measure of lack of fit in time series models
- Automatic Lag Selection in Covariance Matrix Estimation
- Estimating and Testing Linear Models with Multiple Structural Changes
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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