We study the correlation of monthly excess returns for seven major countries over the period 1960-90. We find that the international covariance and correlation matrices are unstable over time. A multivariate GARCH(1,1) model with constant conditional correlation helps to capture some of the evolution in the conditional covariance structure. However tests of specific deviations lead to a rejecti...

Investors hold portfolios of assets with different risk-reward profiles for diversification benefits. Conditional on the volatility of assets, diversification benefits can vary over time depending on the correlation structure among asset returns. The correlation of returns between assets has varied substantially over time. To insure against future “low diversification” states, investors might d...

in this paper, we investigate variations of gold coin price and also probe to model the fluctuations and conditional variance of coin market returns. the data consist of daily market prices of gold coin over the 1380 – 1386 period. since volatility clustering is viewed in time series of returns, we employ arch (autoregressive conditional heteroskedasticity) methodology in order to model the var...

We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads t...

We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads t...