RT Report
T1 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
A1 Chen, Jinghui
A1 Kobayashi, Masahito
A1 McAleer, Michael
AB The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility process. The paper also checks the hypothesis of frictionless cross-market hedging, which implies perfectly correlated volatility changes, as suggested by Fleming et al. (1998). The paper uses the technique of Chesher (1984) in differentiating an integral that contains a degenerate density function in deriving the Lagrange Multiplier test statistic.
PB Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/27561
UL https://hdl.handle.net/20.500.14352/27561
LA eng
DS Docta Complutense
RD 10 abr 2025