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20102020
most citedTesting instantaneous causality in presence of non constant unconditional variance

3 citations · 7 across the 5 of their papers we have counts for

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stat.ME2010★ 1 cited

Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean

Valentin Patilea, Hamdi Raïssi

Linear Vector AutoRegressive (VAR) models where the innovations could be unconditionally heteroscedastic and serially dependent are considered. The volatility structure is determin…