TY  - RPRT
AU  - Chen, Jinghui
AU  - Kobayashi, Masahito
AU  - McAleer, Michael
PY  - 2016
UR  - https://hdl.handle.net/20.500.14352/27561
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...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Volatility comovement
KW  - Cross-market hedging
KW  - Spillovers
KW  - Contagion.
TI  - Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
TY  - technical report
VL  - 2016
ER  -