Quentin Giai Gianetto
Biographic Data
| ID | 8920156 |
|---|---|
| NAME | Quentin Giai Gianetto |
| GIVEN NAMES | Quentin Giai |
| FAMILY NAME | Gianetto |
| SIGNATURE | GIANETTO Q G |
| AFFILIATIONS | Institut de recherche mathématique de Rennes |
| ORCID | 0000-0001-6815-2498 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2015 |
| LATEST PUBLICATION YEAR | 2015 |
| H-INDEX | 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…
No prominent works on this page.
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 work) · Autoregressive model (1 work) · Covariance (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Heteroscedasticity (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Statistical hypothesis testing (1 work)