perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. For a US …

findings based on the Dynamic Conditional Correlation (DCC) tend to suggest: both the conventional and Islamic MSCI indices of …

is specified in two steps: one for each realized variance, and one for the realized correlation matrix. The realized … correlation model is a scalar dynamic conditional correlation model. Estimation can be done in two steps as well, and a QML …

recently proposed and is here generalized with the introduction of a correction for the presence of correlation across assets … experiments show evidence of the improvements given by the correction for asset correlation. …

and long memory in the volatility of the Turkish Stock Market. Furthermore, we investigate the performances in-sample and … results in capturing stylized facts in the volatility of Turkish Stock Market. Consequently, evaluating of asymmetry and long … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

do not support long memory behaviour for the stock market returns. However, FIGARCH model indicate that volatility of … market returns has long memory. Moreover, in order to test the feature of long memory in the return and volatility of the …. Predictable structure of volatility of Pakistan Stock Market display that this market is the weak-form market inefficiency …