In this paper, multivariate GARCH models are used to model conditional correlations and to
analyze the volatility spillovers between oil prices and the stock prices of clean energy …

This paper proposes a new generalized autoregressive conditionally heteroskedastic
(GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) …

This paper investigates to what extent globalization and regional integration lead to
increasing equity market interdependence. I focus on Western Europe, as this region has …

The influence of price volatility in the crude oil market is expanding to non-energy
commodity markets. With the substitution of fossil fuels by biofuel and hedge strategies …

This study investigates the dynamic interdependence of the major stock markets in Latin
America. Using data from 1995 to 2000, we examine the stock market indexes of Argentina …

Abstract The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index
worldwide. This article examines the minute‐by‐minute price discovery process and …

By employing the volatility impulse response (VIRF) approach, this paper presents a general
framework for addressing the extent of contagion effects between the BRICSs' and US stock …

We investigate shifts in correlation patterns among international equity returns at the market
level as well as the industry level. We develop a novel bivariate GARCH model for equity …

A time-varying copula model is used to investigate the impact of the introduction of the Euro
on the dependence between 17 European stock markets during the period 1994–2003. The …

This study investigates the impact of the recently introduced Shanghai-Hong Kong Stock
Connect. Using high frequency data and dynamic forecasting techniques, we find that the …