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Testing for Granger causality in variance in the presence of causality in mean

  • Pantelidis, Theologos
  • Pittis, Nikitas

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File URL: http://www.sciencedirect.com/science/article/B6V84-4CWSW87-1/2/a4f2cb11063904f247697c03dd7f6d3c
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 85 (2004)
Issue (Month): 2 (November)
Pages: 201-207

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Handle: RePEc:eee:ecolet:v:85:y:2004:i:2:p:201-207
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  3. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
  4. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  5. He, Changli & Ter svirta, Timo, 1999. "FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS," Econometric Theory, Cambridge University Press, vol. 15(06), pages 824-846, December.
  6. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  7. Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 1," Cowles Foundation Discussion Papers 811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
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