Using data from 50 equity markets we examine conditional and unconditional correlations around two major banking events during the financial crisis of 2008–09. To measure the value of covariance information on the augmented DCC model used in the study, a portfolio in-sample estimation is...

This study investigates the effect of scheduled US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 option prices. The results provide new evidence for the whole implied return distribution being systematically affected by certain macroeconomic news...