The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ...

We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...

This study analyzes the correlation of stock and bond indices for eight developed countries. We compare a country's stock-bond linkages with cross-country linkages and find that the former exhibit a negative trend in contrast to the positive trend observed for cross-country stock market and bond...

This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle and Sheppard (2006). We find significant variation in correlation...

This paper investigates the impacts of the introduction of the euro on the pattern of stock market linkages and the dynamic process of stock market integration over the period from 1989-2003. On a regional level, we examine integration among stock market indices of European Union (EU) countries...

This paper examines the dynamic relationship between daily stock and government bond returns of selected countries over the past decade to infer the state and progress of inter-financial market integration. We proceed to empirically investigate the influence of the European Monetary Union (EMU)...

This paper surveys research on Emulative Neural Network (ENN) models as economic forecasters. ENNs are statistical methods that seek to mimic neural processing. They serve as trainable analytical tools that quot;learnquot; autonomously. ENNs are ideal for finding non-linear relationships and...

Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time-varying volatility comovement and spillover impact the true variance-covariance matrix under a time-varying correlation set up....

This paper studies the co-movement of global yield curve dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. Our data-driven approach is able to pin down the drivers of yield curve dynamics and produce plausible term premium estimates. We reveal the...

We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...