This paper seeks to investigate the time-varying dynamic conditional correlations to the five most important future metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized ARCH (FIGARCH) dynamic conditional correlation (cDCC)...

Τhis paper investigates the potential volatility spillover and contagion effects of the Eurodollar futures market and the zero coupons of Banca Fideuram. We consider the zero coupons of Banca Fideuram ending from 2018 to 2033. By employing a bivariate DCC-GARCH model, we show significant...

We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the 2011-2018 post global financial crisis....

This paper examines the time-varying conditional correlations between Bitcoin future market and five FOREX future markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion effects between the markets for the period 2017-2019....

This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We...

This paper seeks to investigate the time-varying conditional correlations to the crude oil futures contract returns and the private Credit Default Swap market returns of Germany and France. We employ a dynamic conditional correlation (DCC) Generalized Auto Regressive Conditional...

This paper examines the time-varying conditional correlations between seventeen metal future markets and Malaysian Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential contagion effects between the markets for the period...