Testing Causality Between Two Vectors in Multivariate GARCH Models
Year of publication: |
2012
|
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Authors: | Wozniak, Tomasz |
Institutions: | Department of Economics, Faculty of Business and Economics |
Subject: | Second-Order Causality | Volatility Spillovers | Bayes Factors | GARCH Models |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 1139 28 pages |
Classification: | C11 - Bayesian Analysis ; C12 - Hypothesis Testing ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: |
-
Testing Causality Between Two Vectors in Multivariate GARCH Models
Wozniak, Tomasz, (2012)
-
Bayesian Cointegration Analysis.
Sugita, K., (2001)
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Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu, (2015)
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Lütkepohl, Helmut, (2017)
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Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
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Granger-causal analysis of VARMA-GARCH models
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