We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.

Since the onset of the global financial crisis, the sovereign risk premium differential and associated government bond yields have been widening so much as to cause the Eurozone crisis. The stylized facts of the 10-year Greek government bond yield attract much interest since there are deepened...

A lack of economic convergence among euro member countries seems to be feeding euro-skepticism. Using a Structural Vector Auto Regression model combined with a time varying correlation analysis, we attempt to test the endogeneity theory for the three core euro members, i.e., France, Germany, and...

Recent developments in multivariate volatility modeling suggest that the conditional correlation matrix can be described by a time series recursion, where the total number of parameters grows by the power-of-two of the dimension of financial returns. The power of two computational requirement...

We introduce in this paper a multivariate threshold stochastic volatility model for multiple financial return time series. This model allows the dynamic structure of return and volatility to change according to a threshold model while accounting for the interdependence of financial returns....

Purpose – The Basel Committee regulations require the estimation of value-at-risk (VaR) at 99 percent confidence level for a ten-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically...

This paper investigates the volatility spillover and the dynamic correlation between crude oil and stock index returns. Monthly returns from January 1997 to December 2010 of the crude oil, oil-importing and oil-exporting stock indices are analysed using three multivariate GARCH specifications...

In recent years, the measurement and analysis of comovement have become important subjects with theoretical and practical value. The contagion effects specified in this paper include spillover effects under information transfer and coherent movement under common external influences. We propose...

We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.

We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.