Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]
Testing for Causality in Variance using Multivariate
GARCH Models
Christian M. Hafner⁄ Helmut Herwartz y
Econometric …-
ity model, such as multivariate GARCH (or BEKK), and construct a Wald test on
noncausality in variance. We compare both … Haugh (1977)) Che-
ung and Ng (1996) follow these lines to infer on cross sectional dependence of squared
GARCH innovations …