TY  - RPRT
AU  - Chen, Jinghui
AU  - Kobayashi, Masahito
AU  - McAleer, Michael
PY  - 2017
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22887
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...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Lagrange multiplier test
KW  - Volatility co-movement
KW  - Stock markets
KW  - Exchange rate Markets
KW  - Financial crisis
TI  - Testing for volatility co-movement in bivariate stochastic volatility models
TY  - technical report
VL  - 2017
ER  -