Description Usage Arguments Value References See Also
This function computes the test statistic and the associated p-value of the test for causality in conditiona variance in the CC-GARCH models.
(T \times N)
A vector containing the test statistic and the associated p-value
Hafner, C.M. and H. Herwartz (2006), “A Lagrange Multiplier Test for Causality in Variance.” Economics Letters 93, 137–141.
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