The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad …-M) models to examine the volatility and covariance of fuel prices in these nations. The results of the study indicate that there …

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short …-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation … heterogeneity in correlation. The implication is that short-run correlation may be downward biased by frictions, the latter …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …

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 …

allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …