market from January 2000 to June 2010 employing dynamic conditional correlation GARCH model. Our results show that there …

analysis (Rua, 2010). The wavelet base measure of correlation enables not only to analyze the interdependence among stock …

We examine whether average country-level stock market correlation is related to global equity returns. Previous … research focusing on the U.S. suggests that average firm-level correlation captures some of the risk not accounted for by other …-level correlation does not appear to be related to global returns, and that the Roll (1977) critique is not responsible for this lack of …

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six … Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the oil and stock …

proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news and fundamentals. Most importantly, we find a positive association between co-attention and excess correlation. This …

The present study explores the trend of the correlation level within the synchronised returns on the G7 equity market … positive trend toward higher correlation level and significant time-series autocorrelation in the magnitude of cross …-market return correlation. Correlation level is higher when financial markets experience turbulent periods. The sample period is …

The paper estimates constant conditional correlation (CCC) GARCH models to test whether the dramatic changes in stock …

regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …

correlation, but UK EPU shocks only affect its own long-run variance. The results are consistent when we include more countries in … correlation, even after accounting for a number of alternative uncertainty measures, and that it performs better out …