Hafner, Christian M. - Econometric Society - 2004
volatility, I find that there is not much room for spurious instantaneous causality in multivariate GARCH processes, but that … spurious Granger causality will be more common however numerically insignificant. Forecasting volatility, it is generally … distribution of multivariate realized volatility if the high frequency process follows multivariate GARCH. A numerical example …