An exact estimation of the true correlation matrix is highly desirable in many applications. In practice there will always be an estimation error which, however, can be not only minimized using the shrinking approach but also an invertible correlation matrix can be calculated when there are...

We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet...