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16-094/III - A Simple Test for Causality in Volatility

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, Yokohama National University, Japan
  • Publication date
    November 7, 2016
  • Keywords
    Random coefficient stochastic process, Simple test, Granger non-causality, Regularity conditions, Asymptotic properties, Conditional volatility
  • JEL
    C22, C32, C52, C58