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ArticleCausality tests and conditional heteroskedasticity:

Jon R. Vilasuso2001

Article2001

Causality tests and conditional heteroskedasticity:

Jon R. Vilasuso

33 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Advanced Statistical Methods and Models

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992ARCH modeling in finance 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

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2009Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility 2019Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange 2015Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation

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Year2001

Typearticle

Published2001-03-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations33

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(00)00072-5

openalex_workW1540679010

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