A causality-in-variance test and its application to financial market prices
type: Item
instance of: scholarly article
title: A causality-in-variance test and its application to financial market prices
zbMATH Open document ID: 0842.62095
DOI: 10.1016/0304-4076(94)01714-X
author: Yin-Wong Cheung
author: Lilian K. Ng
published in: Journal of Econometrics
publication date: 1996-08-04T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 889996
zbMATH Keywords: GARCH
zbMATH Keywords: stock price
zbMATH Keywords: volatility spillover
zbMATH Keywords: asymptotic normality
zbMATH Keywords: asymptotic chi-square
zbMATH Keywords: test for causality in variance
zbMATH Keywords: residual cross-correlation function
zbMATH Keywords: Monte Carlo results
zbMATH Keywords: time series
MaRDI profile type: Publication
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full work available at URL: 0304-4076(94)01714-x
OpenAlex ID: W1973179437
description: scientific article; zbMATH DE number 889996