sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation … shows there is a relatively stable, positive correlation between the EUA and Brent oil, natural gas. However, modeling the …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

calculate the cross-sectional correlation coefficients between the biases and find that all of them are positive and highly … decision-making technique will most likely accept other techniques as well. Furthermore, we determine that the correlation …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand …

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 …

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