A test for multivariate ARCH effects

By R. Scott Hacker, Abdulnasser Hatemi-J. 2005

90 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c571fbfa4c459464b5e0d6c99afebccf0bf9f6c7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. R. Scott Hacker
2. Lokman Gunduz *
3. Abdulnasser Hatemi-J
4. Alper Aslan
5. C. Tang
6. Salah Abosedra
7. Muhammad Shahbaz
8. Juan Gabriel Brida

In Finance

1. R. Scott Hacker
2. Abdulnasser Hatemi-J
3. Lokman Gunduz *
4. Sajal Ghosh
5. K. Kanjilal
6. Scott Hacker

Citations in the corpus

• Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders? (2009, methodology): “For a test of multivariate ARCH effects in the VAR model the interested reader is referred to Hacker and Hatemi-J ( 2005 ).”
• Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application (2006, methodology): “The null hypothesis of no ARCH effects was tested by applying a test suggested by Hacker and Hatemi-J (2005). is equal to the integration order of the variables), ensures that the 2 distribution with the degrees of freedom equal to the number of restrictions for nonGranger causality is the…”
• Is the tourism-led growth hypothesis valid for Turkey? (2005, methodology): “Multivariate ARCH effects were also tested for by using the Hacker and Hatemi-J (2004) test.”