Chiba, Masaru; Kobayashi, Masahito - In: Journal of Risk and Financial Management 6 (2013) 1, pp. 31-61
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...
