Granger-causal analysis of GARCH models : a Bayesian approach
Tomasz Woźniak
| Year of publication: |
2018
|
|---|---|
| Authors: | Woźniak, Tomasz |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 1/5, p. 325-346
|
| Subject: | Bayesian hypotheses assessment | second-order noncausality | VAR-GARCH models | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Kausalanalyse | Causality analysis | Theorie | Theory | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2015.1092839 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012038712