HDGC_HVAR_RVCOV: Test Granger causality for Realized Volatilities in High...

In Marga8/HDGCvar: Granger Causality Testing in High Dimensional Vector Autoregressive Models

Test Granger causality for Realized Volatilities in High Dimensional Heterogeneous VARs conditioning on Realized Correlations

Description

Test Granger causality for Realized Volatilities in High Dimensional Heterogeneous VARs conditioning on Realized Correlations

Usage

HDGC_HVAR_RVCOV(
  GCpair,
  realized_variances,
  realized_correlations,
  bound = 0.5 * nrow(realized_variances),
  parallel = FALSE,
  n_cores = NULL
)

Arguments

GCpair	A named list with names GCto and GCfrom containing vectors of the relevant GC variables.
realized_variances	Dataset of (stationary) realized volatilities. A matrix or object that can be coerced to a matrix. Note: the volatilities must not be in logs.
realized_correlations	Dataset of (stationary) realized correlations. To compute realized correlations from realized variances and realized covariances use Realized_corr
bound	lower bound on tuning parameter lambda
parallel	TRUE for parallel computing
n_cores	nr of cores to use in parallel computing, default is all but one

Value

LM Chi-square test statistics (asymptotic), LM F-stat with finite sample correction, LM Chi-square (asymptotic) with heteroscedasticity correction, all with their corresponding p-value. Lasso selections are also printed to the console.

References

Hecq, A., Margaritella, L., Smeekes, S., "Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure." arXiv preprint arXiv:1902.10991 (2019).

Corsi, Fulvio. "A simple approximate long-memory model of realized volatility." Journal of Financial Econometrics 7.2 (2009): 174-196.

Examples

## Not run: HDGC_HVAR_RVCOV(GCpair=list("GCto"="Var 1", "GCfrom"="Var 2"), real_var, real_corr)

Marga8/HDGCvar documentation built on May 25, 2024, 11:12 a.m.