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Testing for volatility co-movement in bivariate stochastic volatility models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017

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 volatility models and proposes a test which checks the volatility co-movement. The proposed test...

Persistent link: https://www.econbiz.de/10011602570

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011441709

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080

Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Persistent link: https://www.econbiz.de/10011590424

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

The impact of jumps and leverage in forecasting co-volatility

Asai, Manabu; McAleer, Michael - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10010477100