In the absence of comprehensive evidence regarding disaggregated volatility and correlations, this paper applies a … levels of volatility and correlations. Further, investors holding this regionally diversified portfolio are rewarded by … reduced correlations during times of increased volatility, highlighting the benefits of wider-reaching diversification. …

return and the volatility of return for all the markets and estimate the serial correlation and co-movement of the four … other in pairwise dimensions. Lastly, we studied and made conclusions concerning the mean and variation in the volatility of …

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …

of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant … assumptions, recent experience of highly turbulent markets has renewed interest in quantitative assessment of price volatility by … implemented. As an application, the impact of crop yield shocks on price volatility is studied. Since the concurrent reduction in …

correlation. …

The purpose of this paper is to examine the conditional volatility and correlation predictability of four emerging … volatility and correlation models. One dominant model, the shrinkage model, outperforms the market across the countries, cost …

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

empirical articles have emerged through which the volatility of the exchange rate and the commercial influxes was analyzed and …