A Lagrange multiplier test for causality in variance

Economics Letters

Volumn 93, Issue 1, 2006, Pages 137-141

  Hafner, Christian M ^a   Herwartz, Helmut ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF KIEL   (Germany)

Author keywords

Causality testing; Multivariate volatility

Indexed keywords

EID: 33748891805     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2006.04.008     Document Type: Article

References (8)

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