Engle, Robert F; Susmel, Raul - In: Journal of Business & Economic Statistics 11 (1993) 2, pp. 167-76
In this article, the authors take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. They use a test recently developed by R. F. Engle and S. Kozicki (1990). This test is also used to assess...