Testing for Volatility Co-Movement in Bivariate Stochastic Volatility Models

DOI10.14490/jjss.47.13zbMath1390.62333OpenAlexW2780931731MaRDI QIDQ4641637

Jinghui Chen, Masahito Kobayashi, Michael McAleer

Publication date: 18 May 2018

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.47.13

zbMATH Keywords

financial crisisLagrange multiplier teststock marketsexchange rate marketsvolatility co-movement

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
• Testing for Neglected Heterogeneity
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• The Price Variability-Volume Relationship on Speculative Markets
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Multivariate Stochastic Variance Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Multivariate Stochastic Volatility: A Review
• The Fast Gauss Transform
• On the Distribution of the Likelihood Ratio

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