Testing for causality in variance in the presence of breaks

Dick van Dijk, Denise R. Osborn, Marianne Sensier

Research output: Contribution to journalArticlepeer-review


Causality-in-variance tests suffer from severe size distortions in the presence of structural breaks in volatility, when such breaks are not taken into account. Pre-testing the series for structural changes in volatility largely remedies the problem. © 2005 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)193-199
Number of pages6
JournalEconomics Letters
Issue number2
Publication statusPublished - Nov 2005


  • Causality tests
  • Structural change
  • Volatility


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