test statistics. The finite sample behavior of the sequential approach is analyzed in a Monte Carlo experiment. Finally, we …

This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We … use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly … frequencies. Our contribution is threefold. First, we find a that downward trend in the daily conditional correlation in the …

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision … making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to …

using the S&P 500 data-set, and a large number of macroeconomic variables across and within countries. -- cross correlations …

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded … data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …