Título:
|
Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series 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), 2016
|
Dimensiones:
|
application/pdf
|
Nota general:
|
info:eu-repo/semantics/openAccess
|
Idiomas:
|
|
Palabras clave:
|
Estado = No publicado
,
Materia = Ciencias Sociales: Economía: Econometría
,
Materia = Ciencias Sociales: Economía: Finanzas
,
Tipo = Documento de trabajo o Informe técnico
|
Resumen:
|
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.
|
En línea:
|
https://eprints.ucm.es/id/eprint/36253/1/1604.pdf
|