Testing for Granger causality in variance in the presence of causality in mean
By Theologos Pantelidis, Nikitas Pittis. 2004
47 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/5cfd2c32497cf4a97e417745bd4f414b838709f1
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In Economics and Econometrics
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Citations in the corpus
- Testing for causality in variance in the presence of breaks (2004, background): “Pantelidis and Pittis (2004) show that this is important, as neglected causality-in-mean”