Testing for causality in variance in the presence of breaks
type: Item
instance of: scholarly article
title: Testing for causality in variance in the presence of breaks
zbMATH Open document ID: 1254.91688
author: Dick van Dijk
author: Denise R. Osborn
author: Marianne Sensier
published in: Economics Letters
publication date: 2013-01-03T00:00:00Z
full work available at URL: dpcgbcr45.pdf
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6121810
zbMATH Keywords: volatility
zbMATH Keywords: causality tests
zbMATH Keywords: structural change
MaRDI profile type: Publication
OpenAlex ID: W2164529742
cites work: Tests for Parameter Instability and Structural Change With Unknown Change Point
cites work: A causality-in-variance test and its application to financial market prices
cites work: A test for volatility spillover with application to exchange rates
cites work: Testing for Granger causality in variance in the presence of causality in mean
DOI: 10.1016/J.ECONLET.2005.05.029
description: scientific article; zbMATH DE number 6121810