RT Report
T1 Testing for volatility co-movement in bivariate stochastic volatility models
A1 Chen, Jinghui
A1 Kobayashi, Masahito
A1 McAleer, Michael
AB The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using the framework of the ARCH model.In empirical analysis we found that volatility co-movement exists among closelylinked stock markets and that volatility co-movement of the exchange rate markets tends to be found when the overall volatility level is low, which is contrasting to the often-cited finding in the financial contagion literature that financial returns have co-movement in the level during the financial crisis.
PB Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
SN 2341-2356
YR 2017
FD 2017
LK https://hdl.handle.net/20.500.14352/22887
UL https://hdl.handle.net/20.500.14352/22887
LA eng
DS Docta Complutense
RD 26 abr 2025