Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity

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Inference in VARs with Conditional Heteroskedasticity of Unknown Form (2016, methodology): “This would apply e.g. to forecast error impulse responses (FEIRs) or restriction tests on the VAR parameters as considered e.g. in Hafner & Herwartz (2009).”
Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis (2017, unknown): “In a related study, using the causality-invariance test proposed by Hafner and Herwartz (2006) and generalized impulse response functions, Nazlioglu et al. (2015) find significant volatility transfers between the Dow Jones Islamic equity market and the conventional equity markets for the US, Europe…”
How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests (2014, methodology): “Specifically, Hafner and Herwartz (2009) introduce a wild bootstrap method to test parameter restrictions in V AR models, that is robust under conditional heteroscedasticity of unknown form.”