Second‐Order Noncausality in Multivariate GARCH Processes

Fabienne Comte and Offer Lieberman

Journal of Time Series Analysis, 2000, vol. 21, issue 5, 535-557

Abstract: Typical multivariate economic time series may exhibit co‐behavior patterns not only in the conditional means, but also in the conditional variances. In this paper we give two new definitions of variance noncausality in a multivariate setting a Granger‐type noncausality and a linear Granger noncausality through projections on Hilbert spaces. Both definitions are related to a previous second‐order noncausality concept defined by Granger et al. in a bivariate setting. The implications of second‐order noncausality on multivariate ARMA processes with GARCH‐type errors are investigated. We derive exact testable restrictions on the parameters of the processes considered, implied by this type of noncausality. Conditions for the finiteness of the fourth‐order moment of the multivariate GARCH process are derived and related to earlier results in the univariate framework. We include an illustration of second‐order noncausality in a trivariate model of daily financial returns.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00197

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:21:y:2000:i:5:p:535-557

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().