Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]
of Granger causality (Granger (1969), Granger (1980), Granger (1988)) have
become a standard step when analyzing linear … addresses the
issue of second order causality and/or causality in variance (Granger, Robins and Engle
(1986), Cheung and Ng … to be caused by the others.
The first notion was introduced by Granger, Robins and Engle (1986), and the second
one by …