frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low …

quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the … relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … 2010. We found that while the developed ``western'' markets (U.S., U.K., Germany), are highly correlated, the …