A Lagrange multiplier test for causality in variance
By Christian M. Hafner, Helmut Herwartz. 2006
170 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ee8b480eaaccec96129067d46308ffb5d7795f48
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
- Walid Mensi
- Duc Khuong Nguyen
- Seong‐Min Yoon
- Shawkat Hammoudeh
- Rangan Gupta
- Teresa Serra
- David Zilberman
- Ş. Nazlıoğlu
In Finance
- Duc Khuong Nguyen
- Walid Mensi
- Shawkat Hammoudeh
- Jianqing Fan
- Rangan Gupta
- Seong‐Min Yoon
- Qiwei Yao
- Mingjin Wang
Citations in the corpus
- Biofuel-related price transmission literature: A review (2013, methodology): “Nazlioglu et al. (2012) use the Hafner and Herwartz (2006) causality in variance test based on the Lagranger multiplier test.”
- Oil prices and financial stress: A volatility spillover analysis (2015, methodology): “This study examines volatility transmissions between world oil prices and financial stress for the pre-crisis, the in-crisis (2008), the post-crisis periods by utilizing the volatility spillover test by Hafner and Herwartz (2006).”
- Volatility spillover between oil and agricultural commodity markets (2013, methodology): “To the best of our knowledge, within the energy-food nexus this is the first study to carry out the causality in variance test developed by Hafner and Herwartz (2006) which is superior to test developed by Cheung and Ng (1996).”
- Policy uncertainty and international financial markets: the case of Brexit (2018, methodology): “Based on Monte Carlo investigations, the latter two methodologies are shown to be preferable for applied work (Hafner and Herwartz 2006a; Hafner and Herwartz 2008).”
- Dynamic spillovers among major energy and cereal commodity prices (2014, background): “Nazlioglu et al. (2013) examine volatility transmission between the oil and selected agricultural commodity prices (wheat, corn, soybeans, and sugar), but apply the newly developed causality in the variance test of Hafner and Herwartz (2006) and the impulse response functions.”
- Modelling multivariate volatilities via conditionally uncorrelated components (2008, methodology): “(Cheung and Ng 1996, and Hafner and Herwartz 2006 ).”