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 …

structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic … conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries …

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 …

by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using … that is spanning more than 40 years. We show that the correlation between industry indices presents both a fast and a slow … time period. By investigating the correlation dynamics monthly, we are able to detect two examples of fast variations in …