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 matrix containing the test statistics of the standard (non-robust) test and the robust version, and the associated p-values
Nakatani, T and T. Ter\"asvirta (2010), “An Alternative Test for Causality in Variance in the Conditional Correlation GARCH models.” mimeo, Stockholm School of Economics.
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