Search
Now showing items 1-2 of 2
- Sort Options:
- Relevance
- Title Asc
- Title Desc
- Issue Date Asc
- Issue Date Desc
- Submission Date Asc
- Submission Date Desc
- Results Per Page:
- 5
- 10
- 20
- 40
- 60
- 80
- 100
Title:Granger-Causal Analysis of VARMA-GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/19Abstract: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 ...
Title:Testing Causality between Two Vectors in Multivariate GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/20Abstract: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 ...