Testing causality between two vectors in multivariate GARCH models
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 | Schätztheorie | Estimation theory | Kausalanalyse | Causality analysis | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis |
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