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 …

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

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad …

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …

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 …

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 …