applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Recent studies suggest that the correlation of stock returns increases with decreasing geographical distance. However …, there is some debate on the appropriate methodology for measuring the effects of distance on correlation. We modify a … regression approach suggested in the literature and complement it with an approach from spatial statistics, the mark correlation …

constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several … transmission e ects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …