, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a … third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as determinants of … each component. We show that the daily correlation component is driven by financial market factors, while the monthly …

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 …