Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision … 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 …

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

significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage … portfolio returns for four well-known anomalies (size, value, momentum and beta) in 21 developed stock markets and more advanced … statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this … pattern disappears when individual returns are averaged; it is also absent in stock price indices, which points to … explanations based on firm-specific drivers of returns. …

on stock returns in the US. Understanding the relationship between banks and their impact on the asset prices of non … power on the cross-section of European stock returns. These findings contrast those for the US. The reasons may be manifold …

correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our …