in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …

-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility state but disappears during … show that the absence of the risk-return relationship in the high-volatility state is due to leverage and volatility … feedback effects arising from increased persistence in volatility. To better filter out these effects, we propose a simple …