A causality-in-variance test and its application to financial market prices

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Department of Economics, University of California, Santa Cruz, CA 95064, United States [1 ]
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J Econom | / 1-2卷 / 33-48期
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The authors are indebted to Patrick Brockett; Frank Diebold; Clive Granger. Christian Gourieroux; Alastair Hall; Melvin Hinich; Peter Pauly; Nirvikar Singh; Carl Walsh; an editor; an associate editor. and two anonymous referees for their helpful comments and suggestions on earlier versions of this paper. Cheung gratefully acknowledges support from the Faculty Research Fund and the GICES; UCSC. The usual disclaimer applies. ‘Some recent studies are Baillie and Bollerslev (1991); Barclay; Litrenberger; and Warner (1990); Cheung and Ng (1990). Engle. Ito. and Lin (1990); Hamao; Masulis; and Ng (1990); and King and Wadhwani (1990);
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