BAUWENS, Luc; otranto, EDOARDO - Center for Operations Research and Econometrics (CORE), … - 2013
market volatility is a major determinant of the correlations. We extend some models to capture explicitly the dependence of … the correlations on the volatility of the market of interest. The models differ in the way by which the volatility … applied to different data sets to verify the presence and possible regularity of the volatility impact on correlations. …