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...

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Bibliographic Details
Main Authors: Chia-Lin Chang, Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2017-03-01
Series:Econometrics
Subjects:
Online Access:http://www.mdpi.com/2225-1146/5/1/15