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 …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …

ARFIMA models, as advocated by Jiang and Tian for use in long-term volatility forecasting, are found in a follow …-up empirical study to be dominated by a certain simple historical predictor of stock price volatility at a five-year horizon. (This … volatility, due to bias-related concerns.) A relationship is observed between the estimated fractional-differencing parameter and …

Modeling volatility, or predictable changes over time and space in a variable, is crucial in the natural and social … sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without … volatility, many temporal and spatial variables would simply be constants. Our purpose is to propose a scientific classification …

covariance matrix and the results obtained for the proportion of failure and the dynamic quantile test of Engle and Manganelli … (2004), show evidence in favor of the model of Conditional Constant Correlation …

This paper evaluates the VaR forecasting performance of the Markov regime switching (MRS) based volatility models … volatility models like the EGARCH or GARCH models with a skewed t-student distribution of return innovations can outperform the …