Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects …. Empirical results reveal increased conditional correlation in the first sub-period (2005-2012) and no contagion in the second …

-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …

describe such robust (to spurious correlation) relationship with the quantile (cointegrating) regression approach. It allows …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Im Gegensatz zur Volatilität wurde der Korrelation in der Forschung bisher viel weniger Beachtung geschenkt, obwohl die … Korrelation in der Finanzwissenschaft eine zentrale Rolle spielt. Die vorliegende Doktorarbeit ergänzt die bestehende Literatur …, indem sie verschiedene Aspekte der Korrelation von Wechselkursen untersucht sowie neue Methoden zur Schätzung und Prognose …

constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …