issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given … about multivariate models of time-varying conditional covariance and correlation models. …

-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

impact of past values of realized correlation on future values is at least 10% higher when stock returns are negative rather … than positive. This finding supports the conjecture that correlation between stock returns tends to be higher when stock …

’s seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and observationally …

bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic …We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic …

regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of … simulation studies show that the proposed test is superior to the correlation-based tests in terms of size and power. We compare …