Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5
affect the power of the test. The purpose of the paper is to derive a simple test for causality in volatility that provides …-causality. The simple test is intuitively appealing as it is based on an underlying stochastic process, is sympathetic to Granger …