On testing for causality in variance between two multivariate time series
type: Item
instance of: scholarly article
title: On testing for causality in variance between two multivariate time series
zbMATH Open document ID: 1453.62647
DOI: 10.1080/00949655.2012.679941
author: Herbert Nkwimi Tchahou
author: P. Duchesne
published in: Journal of Statistical Computation and Simulation
publication date: 2020-03-06T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7177800
zbMATH Keywords: causality in variance
zbMATH Keywords: conditional heteroscedasticity
zbMATH Keywords: portmanteau test statistics
zbMATH Keywords: residual cross-correlations
zbMATH Keywords: multivariate time series
describes a project that uses: StFinMetrics
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/00949655.2012.679941
OpenAlex ID: W1976041181
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description: scientific article; zbMATH DE number 7177800