in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

volatility fail the robustness test. On the other hand, we find strong evidence supporting several others: (1) inertia, with … current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global … volatility shocks have sizeable effects on food price inflation in all countries and persistent second-round effects on core … volatility) and their effects on core inflation to formulate appropriate policy responses. …