Testing for causality in variance under nonstationarity in variance
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- 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.
- van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne, 2005.
"Testing for causality in variance in the presence of breaks,"
Elsevier, vol. 89(2), pages 193-199, November.
- van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2004. "Testing for causality in variance in the presence of breaks," Econometric Institute Research Papers EI 2004-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- D van Dijk & D R Osborn & M Sensier, 2004. "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series 45, Economics, The Univeristy of Manchester.
- Giuseppe Cavaliere, 2005. "Unit Root Tests under Time-Varying Variances," Econometric Reviews, Taylor & Francis Journals, vol. 23(3), pages 259-292.
- Giuseppe Cavaliere, 2003. "Unit root tests under time-varying variances," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna.
- 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. Full references (including those not matched with items on IDEAS)