A practical multivariate approach to testing volatility spillover
提出了一种渐近正态的推断策略，用于检验多部门市场间的波动率溢出，采用非参数核方法构造检验统计量，并给出实用的多元波动率建模方法，模拟和实证均表现良好。
We propose an asymptotic N(0,1) inferential strategy to test for volatility spillover between markets consisting of multiple sectors. First, we use nonparametric kernel method to derive test statistics that assign flexible weight to each lag order and are able to check a growing number of lags as the sample size increases. Second, we propose a practical multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional spillover testing. Simulations show the reasonable finite sample performance of the proposed econometric strategy in a relatively large system. An empirical application highlights the merits of the proposed approach.