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Hafner, Christian M.; Herwartz, Helmut

A Lagrange multiplier test for causality in variance. (English) Zbl 1254.91664

Econ. Lett. 93, No. 1, 137-141 (2006).
Summary: We adapt the Lagrange multiplier (LM) principle to test for noncausality in variance of financial returns. The new test is compared with a Portmanteau statistic [Y.-W. Cheung and L. K. Ng, J. Econom. 72, No. 1-2, 33–48 (1996; Zbl 0842.62095)]. A Monte Carlo study reveals superior power of the LM test.

Cited in 9 Documents

MSC:

91B84 Economic time series analysis
62J10 Analysis of variance and covariance (ANOVA)

Keywords:

causality testing; multivariate volatility

Citations:

Zbl 0842.62095
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Full Text: DOI

References:

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[2] Comte, F.; Lieberman, O., Second order noncausality in multivariate GARCH processes, Journal of Time Series Analysis, 21, 535-557 (2000) · Zbl 0972.62075
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[5] Engle, R. F.; Ng, V. K., Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749-1777 (1993)
[6] Granger, C. W.J., Investigating causal relations by econometric models and cross spectral methods, Econometrica, 37, 424-438 (1969) · Zbl 1366.91115
[7] Granger, C. W.J., Some recent developments in a concept of causality, Journal of Econometrics, 39, 199-211 (1988) · Zbl 0174.21901
[8] Lundbergh, S.; Teräsvirta, T., Evaluating GARCH models, Journal of Econometrics, 110, 417-435 (2002) · Zbl 1040.62078
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