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Farrukh Javed & Panagiotis Mantalos. (2013) GARCH-Type Models and Performance of Information Criteria. Communications in Statistics - Simulation and Computation 42:8, pages 1917-1933.
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Kristofer Månsson. (2012) A Wavelet-Based Approach of Testing for Granger Causality in the Presence of GARCH Effects. Communications in Statistics - Theory and Methods 41:4, pages 717-728.
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Panagiotis Mantalos & Ghazi Shukur. (2010) The effect of spillover on the Granger causality test. Journal of Applied Statistics 37:9, pages 1473-1486.
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Joo-Yeon Hyun, Hyeong Ho Mun, Tae-Hwan Kim & Jinook Jeong. (2010) The effect of a variance shift on the Breusch–Godfrey's LM test. Applied Economics Letters 17:4, pages 399-404.
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Kristofer Månsson & Ghazi Shukur. (2009) Granger Causality Test in the Presence of Spillover Effects. Communications in Statistics - Simulation and Computation 38:10, pages 2039-2059.
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Ming-Chih Lee, Jer-Shiou Chiou & Cho-Min Lin. (2006) A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH. Applied Financial Economics Letters 2:3, pages 183-188.
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