Testing for Volatility Co-Movement in Bivariate Stochastic Volatility Models
Work
Year: 2017
Type: article
Abstract: The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic v... more
Institutions Yokohama National University, National Tsing Hua University, The University of Sydney, Erasmus University Rotterdam, Universidad Complutense de Madrid
Cites: 17
Cited by: 2
Related to: 10
FWCI: 0.308
Citation percentile (by year/subfield): 63.55
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: gold