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 …

significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …

allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise …

a positive mean (averaged over studies) total correlation (correlation of change vectors indexed by country-year pairs …. We obtain a result almost as strong when the correlation is aggregated differently using the separate country and year … statistical theory of correlation and (unconstrained) regression. This provides background to the novel applications of hypothesis …

(Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework … markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis. …

and investors in emerging economies such as India. Overall, this study provides valuable insights into the nature and …

This paper investigates how the two technical drivers, volatility and correlation, influence the algorithm of the …, which are double sorted on volatility and correlation between 1990 and 2014. Our findings are robust to liquidity issues …