Testing for causality in variance in the presence of breaks
Year of publication: |
2004-11-05
|
---|---|
Authors: | Dijk, D.J.C. van ; Osborn, D.R. ; Sensier, M. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | volatitilty | causality tests | structural change |
Extent: | application/pdf |
---|---|
Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2004-48 |
Source: |
-
Testing for causality in variance in the presence of breaks
van Dijk, Dick, (2004)
-
ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
Ng, Serena, (2002)
-
Analysis of Vector Autoregressions in the Presence of Shifts in Mean
Ng, Serena, (1997)
- More ...
-
Changes in variability of the business cycle in the G7 countries
Dijk, D.J.C. van, (2002)
-
Short-term volatility versus long-term growth: evidence in US macroeconomic time series
Sensier, M., (2001)
-
Improved Construction of diffusion indexes for macroeconomic forecasting
Heij, C., (2006)
- More ...