conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic … framework and that the particular choice of hedge is strongly dependent on the correlation between the exchange rate and the … conditional correlation (DCC) model in a simulation framework allows one to incorporate the effects of time-varying parameters …

persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model … further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a …

bond-yield volatility than shocks to the underlying fundamentals. In a second step, we develop a correlation and causality …This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and …-2010 period. In a first step, we decompose volatility in permanent and transitory components using Engel and Lee (1999)'s …

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 …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … for multi-phase analysis of EU ETS, yet only a little empirical evidence backing up the existence of volatility spillover … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation …