Granger-causal analysis of GARCH models: A Bayesian approach
نویسندگان
چکیده
منابع مشابه
Granger-causal analysis of GARCH models: a Bayesian approach
A multivariate GARCH model is used to investigate Granger causality in the conditional variance of time series. Parametric restrictions for the hypothesis of noncausality in conditional variances between two groups of variables, when there are other variables in the system as well, are derived. These novel conditions are convenient for the analysis of potentially large systems of economic varia...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2016
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2015.1092839