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16-015/III - Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models


  • Authors
    Jinghui Chen, Yokohama University, Japan; Masahito Kobayashi, Yokohama University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain
  • Publication date
    March 8, 2016
  • Keywords
    Volatility comovement, Cross-market hedging, Spillovers, Contagion
  • JEL
    C12, C58, G01, G11