The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
A causality-in-variance test and its application to financial market prices
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Citations
Cites
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Cited by
Volatility spillover between oil and agricultural commodity markets
Nazlioglu, S., Erdem, C., & Soytas, U. (2013) · Energy Economics · doi:10.1016/j.eneco.2012.11.009 · Cited by 535
A test for volatility spillover with application to exchange rates
Hong, Y. (2001) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00043-4 · Cited by 443
Granger causality in risk and detection of extreme risk spillover between financial markets
Hong, Y., Liu, Y., & Wang, S. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2008.12.013 · Cited by 358
Testing for Granger-causality in quantiles
Troster, V. (2018) · Econometric Reviews · doi:10.1080/07474938.2016.1172400 · Cited by 357
Biofuel-related price transmission literature: A review
Serra, T., & Zilberman, D. (2013) · Energy Economics · doi:10.1016/j.eneco.2013.02.014 · Cited by 269
Metadata
- Authors
- Cheung, Y.-W., & Ng, L. K.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1996-05
- Volume
- 72
- Issue
- 1-2
- Pages
- 33-48
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W1973179437
- Cited by
- 519
- References
- 3
- FWCI
- 11.65
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: A causality-in-variance test and its application to financial market prices. https://app.cochat.ai/papers/10.1016/0304-4076(94)01714-x
- The paper
- Cheung, Y.-W., & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics. https://doi.org/10.1016/0304-4076(94)01714-x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
