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Testing for causality in variance using multivariate GARCH models
Hafner, Christian M., (2004)
Testing for causality in variance using multivariate GARCH model
Hafner, Christian M., (2008)
Identification of structural multivariate GARCH models
Hafner, Christian M., (2018)
Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M., (2002)
Volatility impulse response functions for multivariate GARCH models
Hafner, Christian M., (2001)