SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Testing for Granger causality in variance in the presence of causality in mean · Study

ArticleShelves

ArticleTesting for Granger causality in variance in the presence of causality in mean

Theologos Pantelidis2004

Article2004

Testing for Granger causality in variance in the presence of causality in mean

Theologos Pantelidis · Nikitas Pittis B

40 citations·0/0 files stored·Economics Letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 40 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1995Multivariate Simultaneous Generalized ARCH 1986Generalized autoregressive conditional heteroscedasticity 1991Optimal Inference in Cointegrated Systems 1988Statistical Inference in Regressions with Integrated Processes: Part 1 1996A causality-in-variance test and its application to financial market prices 2001A test for volatility spillover with application to exchange rates 1999FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS

Cited by

2020Time-varying volatility spillovers between oil prices and precious metal prices 2012International market links and volatility transmission 2013Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries 2008Causality-in-variance and causality-in-mean among European government bond markets 2013Spillovers among CDS indexes in the US financial sector

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Modelling Nonlinear Economic Time Seriesbook · 4 shared references 2013Biofuel-related price transmission literature: A reviewarticle · 4 shared references 1994Chapter 45 Estimation and inference for dependent processeschapter · 4 shared references 2012Return and volatility spillovers among CIVETS stock marketsarticle · 4 shared references 2013The role of credit in the Great Moderation: A multivariate GARCH approacharticle · 4 shared references 2016Dynamic Econometric Modelschapter · 4 shared references

Details

Year2004

Typearticle

Published2004-07-22

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations40

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.econlet.2004.04.006

openalex_workW2006655012

Links

Imported from OpenAlex (CC0) — nothing here is generated.