Testing for causality-in-variance: an ap
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Guglielmo Maria Caporale; Nikitas Pittis; Nicola Spagnolo
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Article
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2002
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John Wiley and Sons
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English
β 145 KB
## Abstract In this paper we provide some empirical evidence on the casual relationship between stock prices and exchange rates volatility in four East Asian countries. In order to test for causalityβinβvariance, we use a GARCH model for which a BEKK representation is adopted, and then test for the