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 …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two … ; spatial correlation ; spatial panel model …

with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two …

omitted variable bias. A panel model allowing for spatial correlation is a convenient way to capture these effects. This …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …