2013 December - 4 articles
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 mode...
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between...
The Journal of Risk and Financial Management (JRFM) is published in full open access by MDPI as of 1 October 2013, when MDPI took over the ownership of the journal. So far, this journal has been published elsewhere in yearly volumes (one issue per ye...
Financial economics and econometrics have advanced rapidly in recent years, in terms of coverage of topics, the creation of new data sources, the availability of existing high frequency and ultra-high frequency tick data, the growing importance of in...
