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Economics Letters
Volumn 85, Issue 2, 2004, Pages 201-207
Testing for Granger causality in variance in the presence of causality in mean
Author keywords

Causality in mean; Causality in variance; GARCH
Indexed keywords

EID: 4544312315     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2004.04.006     Document Type: Article
Times cited : (28)
References (7)
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  • 2
    • 0002121009 scopus 로고    scopus 로고
    • A causality-in-variance test and its application to financial market prices
    • Cheung Y.M. Ng L.K. A causality-in-variance test and its application to financial market prices Journal of Econometrics 72 1996 33-48
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    • Cheung, Y.M.1    Ng, L.K.2
  • 3
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    • Multivariate simultaneous generalized ARCH
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  • 4
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    • He C. Terasvirta T. Fourth moment structure of the GARCH(p,q) process Econometric Theory 15 1999 824-846
    • (1999) Econometric Theory , vol.15 , pp. 824-846
    • He, C.1    Terasvirta, T.2
  • 5
    • 0038118392 scopus 로고    scopus 로고
    • A test for volatility spillover with application to exchange rates
    • Hong Y. A test for volatility spillover with application to exchange rates Journal of Econometrics 103 2001 183-224
    • (2001) Journal of Econometrics , vol.103 , pp. 183-224
    • Hong, Y.1
  • 6
    • 84974399466 scopus 로고
    • Statistical inference in regressions with integrated processes: Part I
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    • Park, J.Y.1    Phillips, P.C.B.2
  • 7
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    • Phillips, P.C.B.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.