Advanced search
Publication Cover
Applied Economics Letters Volume 12, 2005 - Issue 7
Submit an article Journal homepage
751
Views
65
CrossRef citations to date
0
Altmetric
Original Articles

A test for multivariate ARCH effects

R. Scott Hacker Jönköping International Business School, PO Box 1026, SE-551 11, Jönköping, Sweden
&
Abdulnasser Hatemi-J * Department of Economics, University of Skövde, PO Box 408, SE-541 28, Skövde, Sweden; Department of Statistics, Lund University, SE-22007, Lund, Sweden
Pages 411-417 | Published online: 19 Aug 2006

Citations (65)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (14)

Xiaozhu Guo, Bo Wang & Xu Yongan. (2022) The asymmetric effect of infectious disease equity market volatility for the physical education economy: implication for a post-Covid world. Economic Research-Ekonomska Istraživanja 35:1, pages 7008-7021.
Read now
Andisheh Saliminezhad & Pejman Bahramian. (2020) Clean energy consumption and economic growth nexus: asymmetric time and frequency domain causality testing in China. Energy Sources, Part B: Economics, Planning, and Policy 15:1, pages 1-12.
Read now
Dincer Dedeoglu & Kaan Ogut. (2018) Examination of money supply endogeneity in Turkey: Evidence from asymmetric causality test. Cogent Economics & Finance 6:1.
Read now
Abdulnasser Hatemi-J, Abdulrahman Al Shayeb & Eduardo Roca. (2017) The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests. Applied Economics 49:16, pages 1584-1592.
Read now
O. Ranjbar, T. Chang, E. Nel & R. Gupta. (2017) Energy consumption and economic growth nexus in South Africa: Asymmetric frequency domain approach. Energy Sources, Part B: Economics, Planning, and Policy 12:1, pages 24-31.
Read now
Abdulnasser Hatemi-J & Eduardo Roca. (2016) BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests. Applied Economics 48:59, pages 5772-5778.
Read now
Abdulnasser Hatemi-J & Mrittika Shamsuddin. (2016) The causal interaction between financial development and human development in Bangladesh. Applied Economics Letters 23:14, pages 995-998.
Read now
Abdulnasser Hatemi-J & Youssef El-Khatib. (2016) An extension of the asymmetric causality tests for dealing with deterministic trend components. Applied Economics 48:42, pages 4033-4041.
Read now
Abdulnasser Hatemi-J. (2016) On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments. Applied Economics Letters 23:6, pages 424-427.
Read now
Abdulnasser Hatemi-J & Gazi Salah Uddin. (2014) On the causal nexus of remittances and poverty reduction in Bangladesh. Applied Economics 46:4, pages 374-382.
Read now
Chor Foon Tang. (2013) A revisitation of the export-led growth hypothesis in Malaysia using the leveraged bootstrap simulation and rolling causality techniques. Journal of Applied Statistics 40:11, pages 2332-2340.
Read now
A. Hatemi-J & R. S. Hacker. (2009) Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?. Applied Economics 41:9, pages 1121-1125.
Read now
Abdulnasser Hatemi-J & Eduardo D. Roca. (2007) Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners. Applied Financial Economics 17:10, pages 827-835.
Read now
R. Scott Hacker & Abdulnasser Hatemi-J. (2006) Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics 38:13, pages 1489-1500.
Read now

Articles from other publishers (51)

Yanran Hong, Shijiao Cao, Pengfei Xu & Zhigang Pan. (2024) Interpreting the effect of global economic risks on crude oil market: A supply-demand perspective. International Review of Financial Analysis 91, pages 103008.
Crossref
Dongxia Huo, Salim Bagadeem, Tarek Abbas Elsherazy, Siddhesh Prabhu Nasnodkar & Akash Kalra. (2023) Renewable energy consumption and the rising effect of climate policy uncertainty: Fresh policy analysis from China. Economic Analysis and Policy 80, pages 1459-1474.
Crossref
Arusha Cooray, Partha Gangopadhyay & Narasingha Das. (2023) Causality between volatility and the weekly economic index during COVID-19: The predictive power of efficient markets and rational expectations. International Review of Financial Analysis 89, pages 102792.
Crossref
Guo-Hui Yang, Si-Qi Ma, Xiao-Dong Bian & Jiang-Cheng Li. (2023) The roles of liquidity and delay in financial markets based on an optimal forecasting model. PLOS ONE 18:9, pages e0290869.
Crossref
Yue Xi, Anh Ngoc Quang Huynh, Yushi Jiang & Yanran Hong. (2023) Energy transition concern: Time-varying effect of climate policy uncertainty on renewables consumption. Technological Forecasting and Social Change 192, pages 122551.
Crossref
Pejman Bahramian, Andisheh Saliminezhad & Sami Fethi. (2023) Clean energy consumption and economic growth in China: a time-varying analysis. Studies in Nonlinear Dynamics & Econometrics 27:3, pages 299-313.
Crossref
Abdulnasser Hatemi-J, Eduardo Roca & Alan Mustafa. (2022) Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches. Journal of Economic Studies 50:4, pages 790-805.
Crossref
Chao Liang, Yanran Hong, Luu Duc Toan Huynh & Feng Ma. (2023) Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world. Review of Quantitative Finance and Accounting 60:4, pages 1543-1567.
Crossref
Juan José García-del-Hoyo, Ramón Jiménez-Toribio & David Castilla-Espino. (2023) Price volatility transmission in the value chain of fresh anchovies in Spain. Fisheries Research 260, pages 106606.
Crossref
Yanran Hong, Pan Li, Lu Wang & Yaojie Zhang. (2023) New evidence of extreme risk transmission between financial stress and international crude oil markets. Research in International Business and Finance 64, pages 101853.
Crossref
Yanran Hong, Feng Ma, Lu Wang & Chao Liang. (2022) How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test. Resources Policy 78, pages 102859.
Crossref
Mucahit Aydin, Ugur Korkut Pata & Veysel Inal. (2021) Economic policy uncertainty and stock prices in BRIC countries: evidence from asymmetric frequency domain causality approach. Applied Economic Analysis 30:89, pages 114-129.
Crossref
Yanran Hong, Lu Wang, Xiaoqing Ye & Yaojie Zhang. (2022) Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis. Renewable Energy 196, pages 535-546.
Crossref
Wei Zhou, Guang-Yan Zhong & Jiang-Cheng Li. (2022) Stability of financial market driven by information delay and liquidity in delay agent-based model. Physica A: Statistical Mechanics and its Applications 600, pages 127526.
Crossref
Jiang-Cheng Li, Chen Tao & Hai-Feng Li. (2022) Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods. Physica A: Statistical Mechanics and its Applications 588, pages 126546.
Crossref
Liang Zhao & Yuanhua Jia. (2021) Interactive Correlation between Economy and Integrated Transportation Development of Metropolitan Areas in China: Quantitative Study. Journal of Urban Planning and Development 147:4.
Crossref
Lu Wang, Feng Ma, Tianjiao Niu & Chao Liang. (2021) The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. Energy Economics 99, pages 105319.
Crossref
Juha Junttila, Jukka Perttunen & Juhani Raatikainen. (2021) Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks. International Review of Financial Analysis 75, pages 101724.
Crossref
Siew-Voon Soon & Ahmad Zubaidi Baharumshah. (2021) Exchange rates and fundamentals: Further evidence based on asymmetric causality test. International Economics 165, pages 67-84.
Crossref
Tayfur Bayat & Şebnem Taş. (2019) Finansal istikrarı sağlamada uluslararası rezervler önemli bir araç mıdır?. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi:54, pages 508-525.
Crossref
İsmail CANÖZ & Aylin ERDOĞDU. (2019) Sektörel Güven Endeksleri ve BİST Sektör Endeksleri Arasındaki İlişkilerin Simetrik ve Asimetrik Nedensellik AnaliziSymmetric and Asymmetric Causality Analysis of the Relationships between Sectoral Confidence Indices and ISE Sector IndicesSymmetric and Asymmetric Causality Analysis of the Relationships between Sectoral Confidence Indices and ISE Sector Indices. Yönetim ve Ekonomi Dergisi 26:3, pages 833-849.
Crossref
Apostolos Serletis & Libo Xu. (2019) The ethanol mandate and crude oil and biofuel agricultural commodity price dynamics. Journal of Commodity Markets 15, pages 100068.
Crossref
Martin T. Bohl, Christian Gross & Waldemar Souza. (2019) The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets. International Review of Economics & Finance 60, pages 203-215.
Crossref
M. Kamisli. 2019. Blockchain Economics and Financial Market Innovation. Blockchain Economics and Financial Market Innovation 319 344 .
İzzet TAŞAR. (2018) ASYMMETRIC RELATIONSHIP BETWEEN OIL PRICE AND EXCHANGE RATE: THE CASE OF ROMANIA. Fırat Üniversitesi Sosyal Bilimler Dergisi, pages 1-12.
Crossref
Xiaoli L. Etienne, Andrés Trujillo-Barrera & Linwood A. Hoffman. (2017) Volatility Spillover and Time-Varying Conditional Correlation Between DDGS, Corn, and Soybean Meal Markets. Agricultural and Resource Economics Review 46:3, pages 529-554.
Crossref
Julio Sarmiento, Edgardo Cayon, María Collazos & Juan S. Sandoval. (2017) Positive asymmetric information in volatile environments: The black market dollar and sovereign bond yields in Venezuela. Research in International Business and Finance 41, pages 547-555.
Crossref
Önder BÜBERKÖKÜ. (2017) İŞLEM HACMİ İLE HİSSE SENEDİ GETİRİLERİ ARASINDAKİ İLİŞKİNİN İNCELENMESİ: BANKA HİSSELERİNE DAYALI BİR ANALİZ. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, pages 457-457.
Crossref
Zhaoyue Shi, Baxter P. Rogers, Li Min Chen, Victoria L. Morgan, Arabinda Mishra, Don M. Wilkes & John C. Gore. (2016) Realistic models of apparent dynamic changes in resting-state connectivity in somatosensory cortex. Human Brain Mapping 37:11, pages 3897-3910.
Crossref
Xiaoli Liao Etienne, Andrés Trujillo-Barrera & Seth Wiggins. (2016) Price and volatility transmissions between natural gas, fertilizer, and corn markets. Agricultural Finance Review 76:1, pages 151-171.
Crossref
Giorgio Canarella, Stephen M. Miller & Stephen K. Pollard. (2014) Purchasing Power Parity Between the UK and Germany: The Euro Era. Open Economies Review 25:4, pages 677-699.
Crossref
Aviral Kumar Tiwari. (2014) The asymmetric Granger-causality analysis between energy consumption and income in the United States. Renewable and Sustainable Energy Reviews 36, pages 362-369.
Crossref
. 2014. Correlation Risk Modeling and Management. Correlation Risk Modeling and Management 157 180 .
Sen-Sung Chen, Shu-Ching Cheng, Guochen Pan & Tsung-Pao Wu. (2013) The relationship between globalization and insurance activities: A panel data analysis. Japan and the World Economy 28, pages 151-157.
Crossref
Stavros Degiannakis, George Filis & Christos Floros. (2013) Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment. Journal of International Financial Markets, Institutions and Money 26, pages 175-191.
Crossref
Lei Duan, Changjie Tang, Xiaosong Li, Guozhu Dong, Xianming Wang, Jie Zuo, Min Jiang, Zhongqi Li & Yongqing Zhang. (2013) Mining effective multi-segment sliding window for pathogen incidence rate prediction. Data & Knowledge Engineering 87, pages 425-444.
Crossref
Tsangyao Chang, Shu-Ching Cheng, Guochen Pan & Tsung-pao Wu. (2013) Does globalization affect the insurance markets? Bootstrap panel Granger causality test. Economic Modelling 33, pages 254-260.
Crossref
Pat Obi & Shomir Sil. (2013) VaR and time‐varying volatility: a comparative study of three international portfolios. Managerial Finance 39:7, pages 625-640.
Crossref
Abdulnasser Hatemi-J & Gazi Salah Uddin. (2012) Is the causal nexus of energy utilization and economic growth asymmetric in the US?. Economic Systems 36:3, pages 461-469.
Crossref
Abdulnasser Hatemi-J. (2011) Asymmetric causality tests with an application. Empirical Economics 43:1, pages 447-456.
Crossref
Scott Hacker & Abdulnasser Hatemi‐J. (2012) A bootstrap test for causality with endogenous lag length choice: theory and application in finance. Journal of Economic Studies 39:2, pages 144-160.
Crossref
Abdulnasser Hatemi-J. (2012) Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing. Research in International Business and Finance 26:2, pages 273-280.
Crossref
Abdulnasser Hatemi-J & Manuchehr Irandoust. (2011) The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations. Research in International Business and Finance 25:3, pages 329-334.
Crossref
Lei Duan, Changjie Tang, Chi Gou, Min Jiang & Jie Zuo. 2011. Advanced Data Mining and Applications. Advanced Data Mining and Applications 152 165 .
Evdokia Xekalaki & Stavros Degiannakis. 2010. ARCH Models for Financial Applications. ARCH Models for Financial Applications 479 520 .
Mazin A.M. Al Janabi, Abdulnasser Hatemi-J & Manuchehr Irandoust. (2010) An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation. International Review of Financial Analysis 19:1, pages 47-54.
Crossref
Abdulnasser Hatemi‐J & Bryan Morgan. (2009) An empirical analysis of the informational efficiency of Australian equity markets. Journal of Economic Studies 36:5, pages 437-445.
Crossref
Abdulnasser Hatemi-J & Eduardo Roca. (2006) A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods. Economic Modelling 23:6, pages 993-1007.
Crossref
Abdulnasser Hatemi-J & Manuchehr Irandoust. (2006) A bootstrap-corrected causality test: another look at the money–income relationship. Empirical Economics 31:1, pages 207-216.
Crossref
Apostolos Serletis & Libo Xu. (2018) The Ethanol Mandate and Crude Oil and Biofuel Agricultural Commodity Price Dynamics. SSRN Electronic Journal.
Crossref
Giorgio Canarella, Stephen M. Miller & Stephen K. Pollard. (2013) Purchasing Power Parity between the UK and the Euro Area. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.