Chang, Chia-Lin; McAleer, Michael - 2016
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or … volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 …). A subsequent development was the Lagrange Multiplier (LM) test of non-causality in the conditional variance by Hafner …