Testing for volatility co-movement in bivariate stochastic volatility models

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...

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Detalles Bibliográficos
Autores: Chen, Jinghui, Kobayashi, Masahito, McAleer, Michael
Tipo de recurso: informe técnico
Fecha de publicación:2017
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/22887
Acceso en línea:https://hdl.handle.net/20.500.14352/22887
Access Level:acceso abierto
Palabra clave:C12
C58
G01
G11
Lagrange multiplier test
Volatility co-movement
Stock markets
Exchange rate Markets
Financial crisis
Economía financiera
Crisis económicas
Econometría (Economía)
5307.06 Fluctuaciones Económicas
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/22887
network_acronym_str ES
network_name_str España
repository_id_str
spelling Testing for volatility co-movement in bivariate stochastic volatility modelsChen, JinghuiKobayashi, MasahitoMcAleer, MichaelC12C58G01G11Lagrange multiplier testVolatility co-movementStock marketsExchange rate MarketsFinancial crisisEconomía financieraCrisis económicasEconometría (Economía)5307.06 Fluctuaciones Económicas5302 EconometríaThe 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.Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)Universidad Complutense de Madrid20172017-01-0120172017-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/22887reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial-CompartirIgual 3.0 Españahttps://creativecommons.org/licenses/by-nc-sa/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/228872026-06-02T12:44:21Z
dc.title.none.fl_str_mv Testing for volatility co-movement in bivariate stochastic volatility models
title Testing for volatility co-movement in bivariate stochastic volatility models
spellingShingle Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui
C12
C58
G01
G11
Lagrange multiplier test
Volatility co-movement
Stock markets
Exchange rate Markets
Financial crisis
Economía financiera
Crisis económicas
Econometría (Economía)
5307.06 Fluctuaciones Económicas
5302 Econometría
title_short Testing for volatility co-movement in bivariate stochastic volatility models
title_full Testing for volatility co-movement in bivariate stochastic volatility models
title_fullStr Testing for volatility co-movement in bivariate stochastic volatility models
title_full_unstemmed Testing for volatility co-movement in bivariate stochastic volatility models
title_sort Testing for volatility co-movement in bivariate stochastic volatility models
dc.creator.none.fl_str_mv Chen, Jinghui
Kobayashi, Masahito
McAleer, Michael
author Chen, Jinghui
author_facet Chen, Jinghui
Kobayashi, Masahito
McAleer, Michael
author_role author
author2 Kobayashi, Masahito
McAleer, Michael
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C12
C58
G01
G11
Lagrange multiplier test
Volatility co-movement
Stock markets
Exchange rate Markets
Financial crisis
Economía financiera
Crisis económicas
Econometría (Economía)
5307.06 Fluctuaciones Económicas
5302 Econometría
topic C12
C58
G01
G11
Lagrange multiplier test
Volatility co-movement
Stock markets
Exchange rate Markets
Financial crisis
Economía financiera
Crisis económicas
Econometría (Economía)
5307.06 Fluctuaciones Económicas
5302 Econometría
description 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.
publishDate 2017
dc.date.none.fl_str_mv 2017
2017-01-01
2017
2017-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/22887
url https://hdl.handle.net/20.500.14352/22887
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
publisher.none.fl_str_mv Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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