allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

conditional correlation approach. We find that cross-products are indeed long memory processes, but that this feature arises from … long memory in conditional volatilities and not from long memory in conditional correlation …

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

We study international correlation and volatility of dynamics of publicly traded real estate securities using monthly … returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample … volatilities. We also find the international correlation structure of real estate securities and the broader stock market are …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …