Título: | Testing for volatility co-movement in bivariate stochastic volatility models |
Autores: | Chen, Jinghui ; Kobayashi, Masahito ; McAleer, Michael |
Tipo de documento: | texto impreso |
Editorial: | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 2017 |
Dimensiones: | application/pdf |
Nota general: |
cc_by_nc_sa info:eu-repo/semantics/openAccess |
Idiomas: | |
Palabras clave: | Estado = No publicado , Materia = Ciencias: Matemáticas: Economía financiera , Materia = Ciencias Sociales: Economía: Crisis económicas , Materia = Ciencias Sociales: Economía: Econometría , Tipo = Documento de trabajo o Informe técnico |
Resumen: |
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. |
En línea: | https://eprints.ucm.es/id/eprint/41441/1/1710.pdf |
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