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