Browsing Working Papers by Author "WOŹNIAK, Tomasz"

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Browsing Working Papers by Author "WOŹNIAK, Tomasz"

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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 ...
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    Title: Testing Causality between Two Vectors in Multivariate GARCH Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...
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    Title: Bayesian Testing of Granger Causality in Markov-Switching VARs  Author(s): DROUMAGUET, Matthieu; 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 as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables ...