The impacts of the Subprime Financial crisis resulted in generally similar decline and volatility in both developed and emerging stock markets. However, in the aftermath of the crisis, the performance of emerging economies was stronger. To investigate this phenomena, this paper seeks to gauge...

Properly estimating correlations and understanding how they change under different economic conditions plays a key role in asset pricing models, risk management, and many econometric models. In this paper we introduce a robust framework to identify a meaningful correlation relationship, address...

Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent...