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A Lagrange multiplier test for causality in variance
Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 93 (2006) 1, pp. 137-141
Persistent link: https://www.econbiz.de/10003380170
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Testing for causality in variance using multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut - In: Annales d'économie et de statistique 89 (2008), pp. 215-241
Persistent link: https://www.econbiz.de/10003875586
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Out-of-sample tests or granger causality
Chao, John; Corradi, Valentina; Swanson, Norman R. - In: Macroeconomic dynamics 5 (2001) 4, pp. 598-620
Persistent link: https://www.econbiz.de/10001625176
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Causal relations between inflation and inflation uncertainty : cross sectional evidence in favour of the Friedman-Ball hypothesis
Hartmann, Matthias; Herwartz, Helmut - In: Economics letters 115 (2012) 2, pp. 144-147
Persistent link: https://www.econbiz.de/10009615529
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Correlation impulse response functions
Hafner, Christian M.; Herwartz, Helmut - In: Finance research letters 57 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014513333