Article ID Journal Published Year Pages File Type
5062715 Economics Letters 2006 5 Pages PDF
Abstract

We adapt the Lagrange multiplier (LM) principle to test for noncausality in variance of financial returns. The new test is compared with a Portmanteau statistic [Cheung, Y.W., Ng, L.K., 1996. A causality in variance test and its application to financial market prices. Journal of Econometrics 72, 33-48.]. A Monte Carlo study reveals superior power of the LM test.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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A Lagrange multiplier test for causality in variance
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