For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US …-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on … a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the …

health, banking, and political crises. To this end, we use a wavelet-based method on the returns of different assets during …

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …