In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding … how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among … stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the …

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We … correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation. …

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

time-varying covariance matrix of the multivariate Student's t distribution. The key novelty of our proposed model concerns …

autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new …, risk-parity based approach to determine each model's accuracy. I find that traditional, sample covariance methods perform …