time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …

(local) currency pricing version of the model generates a negative (positive) cross-country correlation of stock prices …

strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …

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 …

While the enlargement of the Euro area to new countries has reduced the average return correlation among member … countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old …' correlation with domestic assets. This evidence sheds light on the determinants of the sharp decline in bilateral equity …

index and exchange rate. We apply simple correlation and wavelet based correlation and in accordance with the portfolio … correlation grows stronger with higher time scales. We further apply quantile regression to observe the various relationships …

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …