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