We use experimental stock markets to add more evidence that Black's [1976. Proceedings of the 1976 Meeting of the Business and Economic Statistics Section. American Statistical Association, pp. 177-181] leverage effect in financial markets does not necessarily stem from the financial leverage of...

Recently, Pelletier [2006. Journal of Econometrics 131, 445-473] proposed a model for dynamic correlations based on the idea to combine standard GARCH models for the volatilities with a Markov-switching process for the conditional correlations. In this paper, several properties of the model are...