Volatility and Cross Correlation Across Major Stock Markets

@article{Ramchand1998VolatilityAC,
  title={Volatility and Cross Correlation Across Major Stock Markets},
  author={Latha Ramchand and Raul Susmel},
  journal={Journal of Empirical Finance},
  year={1998},
  volume={5},
  pages={397-416}
}
Several papers have documented the fact that correlations across major stock markets are higher when markets are more volatile - this is done by comparing unconditional correlations over sub-periods or by using conditional correlations that are time varying. In this paper we examine the relation between correlation and variance in a conditional time and state varying framework. We use a switching ARCH (SWARCH) technique that does two things. One, it enables us to model variance as state varying… Expand
Market conditions and time varying conditional correlations
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