with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We … correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation. …

For nearly every major stock market there exist equity and implied volatility indices. These play important roles … the best of our knowledge, no one has yet considered a global setup including both equity and implied volatility indices …

for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across … on the country-level stock market idiosyncratic volatility. We find that that the effect of developed … idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …

specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock … market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross … spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility …

volatility and short-term interest rates. These state variables can identify regimes in comovements through a fast, tractable … standard dynamic conditional correlation approach, especially during the recent global financial crisis when financial market … volatility and lower interest rates. Overall, we contribute to the empirical literature by shedding new light on the fundamental …

In this paper we carry out the first cross-country analysis of the correlation risk premium. We examine the statistical … properties of the implied and realized correlation in European equity markets and relate the resulting premium to the US equity … market correlation risk and a global correlation risk premium. We find evidence of strong co-movement of correlation risk …