Testing for Volatility Co-Movement in Bivariate Stochastic Volatility Models (Q4641637)
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scientific article; zbMATH DE number 6870044
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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