regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …

. We also find that the cross-correlation of the trade signs turns out to be a short-memory process …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …

multivariate corrected dynamic conditional correlation fractionally integrated asymmetric power ARCH (c-DCC-FIAPARCH) process … five groups of countries based on the shape of the dynamic conditional correlation, which indicates that the relationship …

how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among …