International Market Correlation and Volatility

A latent dynamic factor approach to forecasting multivariate stock market volatility

“…This result corresponds to the common nding that high market volatility tends to be accompanied by strong correlation (see e.g. Solnik et al, 1996). Table 3 shows model diagnostic results.…”

The Distribution of Stock Return Volatility

“…As for the foreign exchange rates analyzed in ABDL (1999a), a strong positive association is ev ident. This is further unders cored by the resu lts in the second colu mn in Solnik, Boucrelle and Le Fur (1996). This also motivates the switching ARCH model estimated by Ramchand and Susmel (1998), who argue that the correlations between the U.S. and other world markets are on average 2 to 3.5 times higher when the U.S. market is in a high variance state as compared to a low variance state.…”

In search of the determinants of European asset market comovements

“…The DCC model that we consider has the ‡exibility of univariate GARCH models without the computational di¢ culties of multivariate GARCH models. For a robustness check, we also use nonparametric measures of covariances as in Solnik et al (1996).…”