This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six … Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the oil and stock …

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …

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 …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

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 …

persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model … further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a …

global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in …

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 …

markets in both high and low oil-stock correlation regimes. …