assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

We measure the return connectedness in US policy uncertainty, equity and commodity market between January 1990 to …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility … using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from … heterogeneity among stocks is a non-negligible aspect of this volatility. …