-stationary context. We apply and extend a previously reported method called the Principal Regression Analysis (PRA) to a universe of 84 …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …