Granger causality test in the presence of spillover effects

Communications in Statistics: Simulation and Computation

Volumn 38, Issue 10, 2009, Pages 2039-2059

  Månsson, Kristofer ^a   Shukur, Ghazi ^a,b  

^a JÖNKÖPING UNIVERSITY   (Sweden)

^b LINNAEUS UNIVERSITY   (Sweden)

Author keywords

GARCH; Granger causality test; Power; Size; Spillover

Indexed keywords

COVARIANCE MATRIX; LAGRANGE MULTIPLIERS; STATISTICAL TESTS;

GARCH; GRANGER CAUSALITY TEST; POWER; SIZE; SPILLOVER;

TESTING;

EID: 77955288539     PISSN: 03610918     EISSN: 15324141     Source Type: Journal    
DOI: 10.1080/03610910903243695     Document Type: Article

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