Search Results - subject:"Simple test"

A simple test for causality in volatility

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 …

Persistent link: https://www.econbiz.de/10011654183

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - In: Econometrics 5 (2017) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10011755368

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - 2016

the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the … estimates have valid asymptotic properties. The simple test is intuitively appealing as it is based on an underlying stochastic …

Persistent link: https://www.econbiz.de/10011556246

A Simple Test for Causality in Volatility

Chang, Chia-Lin; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011586709

Stochastic modelling of random variables with an application in financial risk management

Moldovan, Max - 2003

The problem of determining whether or not a theoretical model is an accurate representation of an empirically observed phenomenon is one of the most challenging in the empirical scientific investigation. The following study explores the problem of stochastic model validation. Special attention...

Persistent link: https://www.econbiz.de/10009438314