Testing for volatility co-movement in bivariate stochastic volatility models (Q4641637)
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scientific article; zbMATH DE number 6870044
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| English | Testing for volatility co-movement in bivariate stochastic volatility models |
scientific article; zbMATH DE number 6870044 |
Statements
Testing for Volatility Co-Movement in Bivariate Stochastic Volatility Models (English)
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18 May 2018
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Lagrange multiplier test
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volatility co-movement
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stock markets
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exchange rate markets
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financial crisis
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0.7714310884475708
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0.7578569650650024
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0.7422978281974792
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0.7407150268554688
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