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Causality tests and conditional heteroskedasticity:
16 references·3 citing·35 second hop
Causality tests and conditional heteroskedasticity: (2001)Causality tests and conditional heteroske…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Monetary policy trade-offs and the correlation between nominal interest rates and real output (1995)Monetary policy trade-offs an…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeAn Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Inflation and Uncertainty at Short and Long Horizons (1990)Inflation and Uncertainty at …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Interpreting Evidence on Money-Income Causality (1987)Interpreting Evidence on Mone…Small-Sample Properties of ARCH Estimators and Tests (1985)Small-Sample Properties of AR…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Casual Causal Relationship Between Money and Income: Some Caveats for Time Series Analysis (1979)The Casual Causal Relationshi…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…A Monetary History of the United States, 1867-1960 (1964)A Monetary History of the Uni…Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange (2019)Investors' Trading Behaviour …Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation (2015)Testing for linear and nonlin…Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility (2009)Dual Long-Memory, Structural …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Time Series Regression with a Unit Root (1987)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Little Science, Big Science (1963)A Monetary History of the United States, 1867-1960 (1964)Rules, discretion and reputation in a model of monetary policy (1983)Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies (1991)Idea gaps and object gaps in economic development (1993)Size and performance of banking firms (1993)MONEY, INCOME, AND CAUSALITY (1972)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Econometric Analysis of Cross Section and Panel Data (2001)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Testing for a unit root in panels with dynamic factors (2004)Robust performance hypothesis testing with the Sharpe ratio (2008)Testing slope homogeneity in large panels with serial correlation (2013)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1964A Monetary History of the United States, 1867-1960602 cited
  • 1987Interpreting Evidence on Money-Income Causality559 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 1995Monetary policy trade-offs and the correlation between nominal interest rates and real output325 cited
  • 1990Inflation and Uncertainty at Short and Long Horizons313 cited

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  • 1979The Casual Causal Relationship Between Money and Income: Some Caveats for Time Series Analysis250 cited
  • 1985Small-Sample Properties of ARCH Estimators and Tests185 cited
  • Cited by

    • 2009Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility28 cited
    • 2019Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange27 cited
    • 2015Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation15 cited