Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
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 investig...
| Autores: | , , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2016 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/27561 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/27561 |
| Access Level: | acceso abierto |
| Palabra clave: | C12 C58 G01 G11 Volatility comovement Cross-market hedging Spillovers Contagion. Econometría (Economía) Finanzas 5302 Econometría |
| Sumario: | 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. |
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