A test for volatility spillover with application to exchange rates

DOI10.1016/S0304-4076(01)00043-4zbMath1053.62118OpenAlexW1981655853WikidataQ126634957 ScholiaQ126634957MaRDI QIDQ5939173

Yongmiao Hong

Publication date: 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00043-4

zbMATH Keywords

GARCHCausality in varianceCross-correlationExchange rateGranger causalityStandardized residualVolatility spillover

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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