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 …

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 …

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …

Correlation Model.” The sovereign credit risk of Russia, changes in exchange rates and changes in world energy prices were …

relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … interdependencies between these markets and the developing "eastern'' markets (India and China) are very volatile and with noticeable …

economies and emerging market economies (EMEs) over 2007 - 2015, we document the correlation of VRPs across the markets and … correlation. In terms of volatility contagion, we find that an increase in VRPs in the United States significantly reduces equity …