an IGARCH process. By means of a new dynamic conditional correlation model (SP-DCC), we finally document the presence of … time-varying conditional correlations relating temperature anomalies across various zones and SOI. The correlation pattern …

estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures …

interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible …

For over a decade, academic and industry economists argued that the negative correlation between returns on stocks and … portfolio management strategies. Does this negative correlation give rise to the possibility of unexploited profit opportunity … in the financial markets? Using a rational asset-pricing model, we argue that such a negative correlation could arise as …

In this paper we use empirical cross-country correlation coefficients of GDP- and private consumption data as a measure … find, that the so-called consumption correlation puzzle with high output correlations and considerably small …

specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …