Testing for a Single-Factor Stochastic Volatility in Bivariate Series
This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the assumption...
Main Authors: | Masaru Chiba, Masahito Kobayashi |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2013-12-01
|
Series: | Journal of Risk and Financial Management |
Subjects: | |
Online Access: | http://www.mdpi.com/1911-8074/6/1/31 |
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