A Simple Test for Causality in Volatility
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange Multiplie...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2017-03-01
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Series: | Econometrics |
Subjects: | |
Online Access: | http://www.mdpi.com/2225-1146/5/1/15 |