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Testing for Causality in Variance Using Multivariate GARCH Models
11 references·9 citing·41 second hop
Testing for Causality in Variance Using Multivariate GARCH Models (2008)Testing for Causality in Variance Using M…Some Recent Developments in a Concept of Causality (2008)Some Recent Developments in a…Fourth Moment Structure of Multivariate GARCH Models (2003)Fourth Moment Structure of Mu…Asymptotic theory for multivariate GARCH processes (2003)Asymptotic theory for multiva…Testing for causality‐in‐variance: an application to the East Asian markets (2002)Testing for causality‐in‐vari…Short Run and Long Run Causality in Time Series: Theory (1998)Short Run and Long Run Causal…Marginalization and contemporaneous aggregation in multivariate GARCH processes (1996)Marginalization and contempor…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…Causality in temporal systems (1977)Causality in temporal systemsInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain (2020)Asymmetric volatility spillov…Estimation and model-based combination of causality networks among large US banks and insurance companies (2019)Estimation and model-based co…Policy uncertainty and international financial markets: the case of Brexit (2018)Policy uncertainty and intern…Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections (2018)Big Data, Computational Scien…MGARCH models: Trade-off between feasibility and flexibility (2017)MGARCH models: Trade-off betw…A Simple Test for Causality in Volatility (2017)A Simple Test for Causality i…Inference and testing on the boundary in extended constant conditional correlation GARCH models (2016)Inference and testing 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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1977Causality in temporal systems600 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 2003Asymptotic theory for multivariate GARCH processes301 cited
  • 1998Short Run and Long Run Causality in Time Series: Theory290 cited
  • 2008Some Recent Developments in a Concept of Causality251 cited
  • 2002Testing for causality‐in‐variance: an application to the East Asian markets121 cited
  • 1996Marginalization and contemporaneous aggregation in multivariate GARCH processes110 cited
  • 2003Fourth Moment Structure of Multivariate GARCH Models74 cited

Cited by

  • 2018Policy uncertainty and international financial markets: the case of Brexit118 cited
  • 2016Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 201092 cited
  • 2017MGARCH models: Trade-off between feasibility and flexibility48 cited
  • 2020Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain

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39 cited
  • 2016Inference and testing on the boundary in extended constant conditional correlation GARCH models34 cited
  • 2019Estimation and model-based combination of causality networks among large US banks and insurance companies33 cited
  • 2013The role of credit in the Great Moderation: A multivariate GARCH approach26 cited
  • 2017A Simple Test for Causality in Volatility24 cited
  • 2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections22 cited