realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown … body of extant research that finds correlations increase in down markets but not in up markets. In contrast, volatility is …

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the … assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By …