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

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped … noise in correlation matrices by extracting the dominant hierarchy (i.e. the strongest linear-dependence signals) within … structural shift caused by the failure of Lehman Brothers. Thus, based on two different correlation-into-distance mapping …

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped … noise in correlation matrices by extracting the dominant hierarchy (i.e. the strongest linear-dependence signals) within … structural shift caused by the failure of Lehman Brothers. Thus, based on two different correlation-into-distance mapping …

studied (both with unhedged and hedged currency risk strategies). We examine the volatility transmissions and the conditional …

study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …

We investigate how idiosyncratic and systematic effects impact the volatility risk of U.K. cross-listed stocks. Under … the hypothesis that more stock followers enhance information effects on volatility, we examine whether variation in … volatility of a cross-listed stock has in a bivariate setting two edges. We establish a two-dimensional volatility variation of …

existence of significant volatility and cross volatility spillovers across all four markets. Given a high degree of common time …-varying co-volatility among these four countries, investors will be highly unlikely to benefit a reduction of risk if they …