return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in …

. The empirical evidence is obtained by calculating cross-correlation coefficients of sectoral stock market returns with …

model of world trade and foreign direct investment with three factors, two products, and explicit natural as well as policy …