Nonlinear causality testing with stepwise multivariate filtering
Year of publication: |
2011
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Authors: | Bekiros, Stelios |
Institutions: | Department of Economics, European University Institute |
Subject: | nonparametric Granger causality | filtering | multivariate GARCH models | spillovers |
Series: | |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series European University Institute Working Papers Number ECO2011/22 |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; F31 - Foreign Exchange |
Source: |
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