17-022/III - Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

Authors

Jinghui Chen, Yokohama National University, Japan; Masahito Kobayashi, Yokohama National University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan
Publication date

February 13, 2017

Keywords

Lagrange multiplier test; Volatility co-movement, Stock markets, Exchange rate Markets, Financial crisis
JEL

C12, C58, G01, G11

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