Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
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DOI: 10.1007/s00362-017-0919-3
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Cited by:
- Marc Hallin & Simos Meintanis & Klaus Nordhausen, 2024. "Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models," Working Papers ECARES 2024-04, ULB -- Universite Libre de Bruxelles.
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Keywords
ICA; GARCH; SVAR; Volatility causality;All these keywords.
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