Quentin Giai Gianetto
Datos Biográficos
| ID | 8920156 |
|---|---|
| NOMBRE | Quentin Giai Gianetto |
| NOMBRES | Quentin Giai |
| APELLIDO | Gianetto |
| FIRMA | GIANETTO Q G |
| AFILIACIONES | Institut de recherche mathématique de Rennes |
| ORCID | 0000-0001-6815-2498 |
| VERIFICADO | Sí |
| TOTAL DE OBRAS | 1 |
| TOTAL DE CITAS | 0 |
| OBRAS COMO AUTOR | 1 |
| OBRAS COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 2015 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2015 |
| ÍNDICE H | 0 |
Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance
This article investigates the problem of testing instantaneous causality between vector autoregressive (VAR) variables with time-varying unconditional covariance. It is underlined that the standard test does not control the Type I errors, while the tests with White and heteroscedastic autocorrelation consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently, we propose a modified test ba…
Sin obras prominentes en esta página.
Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance
This article investigates the problem of testing instantaneous causality between vector autoregressive (VAR) variables with time-varying unconditional covariance. It is underlined that the standard test does not control the Type I errors, while the tests with White and heteroscedastic autocorrelation consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently, we propose a modified test ba…
Autocorrelation (1 obra) · Autoregressive model (1 obra) · Covariance (1 obra) · Econometrics (1 obra) · Financial Risk and Volatility Modeling (1 obra) · Heteroscedasticity (1 obra) · Market Dynamics and Volatility (1 obra) · Mathematics (1 obra) · Monetary Policy and Economic Impact (1 obra) · Statistical hypothesis testing (1 obra)