Browsing Working Papers by Subject "Bayesian testing"

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Browsing Working Papers by Subject "Bayesian testing"

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    Title: Granger-Causal Analysis of VARMA-GARCH Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...