sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

calculate a complete time varying correlation matrix for these countries. We can then examine the way the conditional … correlation of shocks between the EU15 and the new member countries has been evolving over time. Our results suggest that the … the new member countries seem to exhibit relatively low correlation with EU15 …

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation … shows there is a relatively stable, positive correlation between the EUA and Brent oil, natural gas. However, modeling the …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

calculate the cross-sectional correlation coefficients between the biases and find that all of them are positive and highly … decision-making technique will most likely accept other techniques as well. Furthermore, we determine that the correlation …

This paper provides new evidence of herding in global equity markets. Using quantile regressions applied to daily data … for 33 countries, we investigate herding during the Eurozone crisis, China's market crash in 2015-2016, and in the … aftermath of the Brexit vote. We find significant evidence of herding behavior driven by negative tail market conditions for …