We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

distribution of losses with Generalized Pareto Distribution (GPD). Practical issues such as time varying volatility of returns, and …

psychological insight into excessive and asymmetric volatility. Given the dynamic system, numerical simulations find that, when the …. Along these lines, this paper highlights that psychological factors serve as decisive source of asymmetry in volatility as … well as excess volatility, which are observed in the return data. …

Empirical evidence of cross-asset market linkages when bond markets plunge is scarce in the co-movement correlation … show that the return correlation between the two asset classes has increased during the crisis period and contagion has …

considered when forecasting crude oil volatility. (ii) Returns on the other hand tend to be lower on Mondays than on other …

This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes …