Testing for volatility co-movement in bivariate stochastic volatility models
Jinghui Chen (Graduate School of International Social Sciences, Yokohama National University), Masahito Kobayashi (Department of Economics, Yokohama National University), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Department of Quantitative Economics, Complutense University of Madrid, Spain and Institute of Advanced Sciences, Yokohama National University, Japan)
| Year of publication: |
February 2017 ; Revised: February 2017
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|---|---|
| Authors: | Chen, Jinghui ; Kobayashi, Masahito ; McAleer, Michael |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Stochastische Volatilität | Stochastic volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Aktienmarkt | Stock market | Devisenmarkt | Foreign exchange market | Finanzkrise | Financial crisis | Ansteckungseffekt | Contagion effect | Welt | World |
freely available