Understanding the dynamics of volatility and correlation is a crucially important issue. The literature has developed …-jumps within a group of large stocks, the volatility of, and correlation between their returns. It is found that the occurrence of … common, or co-jumps between the stocks are unrelated to the level of volatility or correlation. On the other hand, both …

probability reduction (self-protection). This renders correlation endogenous so that we measure dependence as the relative …

are internationally correlated. Their possible inter-correlation is important for investors because international …

analysis of the correlation matrix can be noted strong correlations between the turbidity and TSS (0.996), turbidity and OM (0 …

industries over the past 30 years. Coinciding spikes in the volatility and correlation series during periods of market stress has …

be the same whether using a correlation or an odds ratio to summarize the strength of association between the variables …: Whereas the value of a correlation is typically decreased by a factor Ï€/2 after each dichotomization, the value of an odds …

-delivery forward (NDF) rates against the U.S. dollar. We adopt the copula modeling approach to capture dynamics of correlation and tail … particular, the degree of correlation surges sharply after April 9, 2008 while the degree of tail dependence increases …

fact that employment is correlated across states. Such correlation may exist if a change in the minimum wage in a state … negatively affect teen employment to a larger degree than is found in studies that do not account for this correlation. Their … real effective minimum wage. Ignoring spatial correlation underestimates the magnitude of the effect of minimum wages on …