decomposition (MRD) with the use of maximal overlap discrete wavelet transforms (MODWT). Static wavelet variance and correlation … analysis is performed, and phasing is studied using co-correlation with the euro area by scale. Lastly dynamic conditional … correlation GARCH models are used to obtain dynamic correlation estimates by scale against the EU to evaluate synchronicity of …

-varying correlation parameter in the covariance matrix of the transition equation’s error terms. We treat the latter parameter as a state … employs cubic splines for the auxiliary model, and a bootstrap filter method to estimate the time-varying correlation together …