HDGC_HVAR_multiple_RVCOV: Test multiple combinations Granger causality for realized...

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

Test multiple combinations Granger causality for realized volatilities in High Dimensional HVARs

Description

This function is a wrapper around HDGC_HVAR_RVCOV that allows for multiple combinations to be tested

Usage

HDGC_HVAR_multiple_RVCOV(
  realized_variances,
  realized_correlations,
  GCpairs,
  log = TRUE,
  bound = 0.5 * nrow(realized_variances),
  parallel = FALSE,
  n_cores = NULL
)

Arguments

realized_variances	Dataset of (stationary) realized volatilities. A matrix or something 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
GCpairs	it should contain a nested list. The outer list is all the pairs to be considered. See HDGC_HVAR_RVCOV. The inner list contains the GCto and GCfrom vectors needed for HDGC_HVAR_RVCOV.
log	default is TRUE, if the realized volatilities are already log transformed then put to FALSE
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 test statistics, p-values (asymptotic and with finite sample correction) and Lasso selections are 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_multiple_RVCOV(real_var, real_corr, GCpairs, log = TRUE)

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