The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use...

This paper empirically analyzes in a time-varying context if the U.S. corporate Credit Default Swaps (CDS) and bond markets of 81 reference entities reflect the same information on their prices between October 2004 and December 2010, using OTC traded CDS. The analysis shows that frictions in the...

We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000 – 1 platform for...

In this paper, we investigate whether and how excess comovement among commodity returns i.e., correlation among commodity returns not accounted for by the common shocks of exogenous macroeconomic variables, have increased during these decades. To this end, we generalize the model of excess...

We investigate how the excess comovement of commodity prices, that is, the correlation in commodity returns after filtering out common fundamental shocks, has changed over the past three decades by developing the smooth-transition dynamic conditional correlation model that can capture long-run...

We investigate how the excess comovement of commodity prices, that is, the correlation in commodity returns after filtering out common fundamental shocks, has changed over the past three decades by developing the smooth-transition dynamic conditional correlation model that can capture long-run...

Testing for causation—defined as the preceding impact of the past value(s) of one variable on the current value of another when all other pertinent information is accounted for—is increasingly utilized in empirical research using the time-series data in different scientific disciplines. A...

This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists...

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...