Bekiros, Stelios - Department of Economics, European University Institute - 2011
classical pairwise analysis causality testing is conducted in a multivariate formulation, to correct for the effects of the … other variables. A new stepwise multivariate filtering approach is implemented. To check if any of the observed causality is … GARCH-BEKK, CCC-GARCH and DCC-GARCH models. Significant nonlinear causal linkages persisted even after multivariate GARCH …