Next Article in Journal
Revisiting the Performance of MACD and RSI Oscillators
Previous Article in Journal
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2013, 6(1), 31-61; doi:10.3390/jrfm6010031

Testing for a Single-Factor Stochastic Volatility in Bivariate Series

Faculty of Engineering, Fukui University of Technology, 3-6-1 Gakuen, Fukui 910-8505, Japan
Faculty of Economics, Yokohama National University, 79-4 Tokiwadai, Yokohama 240-8501, Japan
Author to whom correspondence should be addressed.
Received: 4 October 2013 / Revised: 25 November 2013 / Accepted: 12 December 2013 / Published: 19 December 2013
View Full-Text   |   Download PDF [1917 KB, uploaded 19 December 2013]   |  


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 that the log of squared measurement error isnormally distributed. The empirical size and power of the test are examined in Monte Carloexperiments. We apply the test to the Asian stock market indices. View Full-Text
Keywords: stochastic volatility model; Kalman filter; Lagrange multiplier test stochastic volatility model; Kalman filter; Lagrange multiplier test

Figure 1

This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Chiba, M.; Kobayashi, M. Testing for a Single-Factor Stochastic Volatility in Bivariate Series. J. Risk Financial Manag. 2013, 6, 31-61.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top