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STATIONARITY TESTS IN GEOGRAPHIC MARKETS: AN APPLICATION TO SOUTH AFRICAN MILK MARKETS

✍ Scribed by Willem H. Boshoff

Book ID
118085903
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
203 KB
Volume
75
Category
Article
ISSN
0038-2280

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πŸ“œ SIMILAR VOLUMES

Testing for causality-in-variance: an ap
Testing for causality-in-variance: an application to the East Asian markets
✍ Guglielmo Maria Caporale; Nikitas Pittis; Nicola Spagnolo πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 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 causality‐in‐variance, we use a GARCH model for which a BEKK representation is adopted, and then test for the