This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …

Heteroskedasticity (MGARCH) model with BEKK, diagonal, Constant Conditional Correlation (CCC), and finally, Dynamic Conditional … Correlation (DCC) specifications. DCC model outperforms among others and identifies two diversification opportunities with Mexican …

The present study conducts a dynamic conditional cross-correlation and time-frequency correlation analyses between … by the COVID-19 pandemic. Two econometric models are used: (1) the dynamic conditional correlation (DCC) GARCH and (2 … between cryptocurrency and equity markets. The high conditional correlation was mostly detected in periods of financial …

Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and … in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust …

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown … body of extant research that finds correlations increase in down markets but not in up markets. In contrast, volatility is …