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A causality-in-variance test and its application to financial market prices

✍ Scribed by Yin-Wong Cheung; Lilian K. Ng


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
932 KB
Volume
72
Category
Article
ISSN
0304-4076

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## 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 causality‐in‐variance, we use a GARCH model for which a BEKK representation is adopted, and then test for the