Testing causality between two vectors in multivariate GARCH models
Tomasz Woźniak (Department of Economics, University of Melbourne, Carlton, Australia)
| Year of publication: |
July-September 2015
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| Authors: | Woźniak, Tomasz |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 876-894
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| Subject: | Second-order Granger causality | Bayesian methods | Posterior odds | GARCH models | Volatility spillovers | ARCH-Modell | ARCH model | Volatilität | Volatility | Kausalanalyse | Causality analysis | Bayes-Statistik | Bayesian inference | Spillover-Effekt | Spillover effect | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474616