in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short …-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation … heterogeneity in correlation. The implication is that short-run correlation may be downward biased by frictions, the latter …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …