Testing for volatility co-movement in bivariate stochastic volatility models

DOI10.14490/JJSS.47.13MaRDI QIDQ4641637zbMATH OpenOpenAlexFDO

Authors 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

exchange rate marketsfinancial crisisLagrange multiplier teststock marketsvolatility co-movement

Mathematics Subject Classification ID

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

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Forecasting Using Principal Components From a Large Number of Predictors
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• Multivariate Stochastic Variance Models
• Multivariate Stochastic Volatility: A Review
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• On the Distribution of the Likelihood Ratio
• Testing for Neglected Heterogeneity
• The Fast Gauss Transform
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(2)

• Volatility comovement: a multifrequency approach
• scientific article; zbMATH DE number 2042817 (Why is no real title available?)

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