Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2018
The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded … coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)’s definition of the co-volatility …