We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box … covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

impact of past values of realized correlation on future values is at least 10% higher when stock returns are negative rather … than positive. This finding supports the conjecture that correlation between stock returns tends to be higher when stock …

We investigate long-run stock-bond correlation using a model that combines the dynamic conditional correlation model … with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical …-bond correlation. Supporting the flight-to-quality phenomenon, long-run correlation tends to be small and negative when the economy is …

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …