This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in the application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in the...

One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with...