𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Testing for Granger causality in distribution tails: An application to oil markets integration

✍ Scribed by Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi

Book ID
121996009
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
419 KB
Volume
31
Category
Article
ISSN
0264-9993

No coin nor oath required. For personal study only.

📜 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 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 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