0
$\begingroup$

I have read a couple of papers which mention causality in variance. For example Cheung and Ng (1996, Journal of Econometrics), "A causality-in-variance test ands its applications to financial markets".

My question is:

Is there any methods on MATLAB, R, EstimaRATS, Eviews etc that can test for causality in variance?

Are there any books for reference?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.