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 …

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects …. Empirical results reveal increased conditional correlation in the first sub-period (2005-2012) and no contagion in the second …

affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while … rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming …