-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …

a positive mean (averaged over studies) total correlation (correlation of change vectors indexed by country-year pairs …. We obtain a result almost as strong when the correlation is aggregated differently using the separate country and year … statistical theory of correlation and (unconstrained) regression. This provides background to the novel applications of hypothesis …

We use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy …

We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …

(Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework … markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis. …