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. …

-run cointegration and correlation analyses that yield mixed results concerning the markets’ relationships. We switch to a dynamic model …

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 …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad …-M) models to examine the volatility and covariance of fuel prices in these nations. The results of the study indicate that there …