Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]
Testing for Causality in Variance using Multivariate
GARCH Models
Christian M. Hafner⁄ Helmut Herwartz y
Econometric … properties. In this paper we show that
a convenient alternative to residual based testing is to specify a multivariate volatil … approaches to testing causality in vari-
ance in terms of asymptotic and finite sample properties. The Wald test is shown to
have …