the correlation with the US …

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001 …-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and … asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global …

calculate a complete time varying correlation matrix for these countries. We can then examine the way the conditional … correlation of shocks between the EU15 and the new member countries has been evolving over time. Our results suggest that the … the new member countries seem to exhibit relatively low correlation with EU15 …

correlation coefficients the results indicate that correlations are time-varying but that the strength of the correlation …

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … markets. The time-varying conditional correlation between EUA and each of energy prices is analyzed. The dynamic correlation … shows there is a relatively stable, positive correlation between the EUA and Brent oil, natural gas. However, modeling the …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized … volatilities is positive and extremely high, although for some periods it decreases dramatically. The correlation of volatilities …