| Author(s)/Year |
Country(s) involved/ Period of Studies |
Methodology |
Underpinning Theory/Justification |
| Cappiello, Engle, and Sheppard ( 2006) |
21 countries (European countries, Australasia and the Americas) (1987 – 2002) |
Asymmetric Generalized -Dynamic Conditional Correlation (AGDCC-MGARCH) |
Leverage Effect and Time-Varying Risk Premia |
| Dajcman ( 2015) |
10 Eurozone countries (2000 – 2011) |
Maximal Overlap Discrete Wavelet Transform (MODWT) Wavelet Correlation Analysis |
Short and Long-Term Investment Horizons |
| Ferrer, Bolós, and Benítez ( 2016) |
Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, UK (1993 – 2012) |
Wavelet approach |
Short and Long-Term Investment Horizons, Economic Fundamental and Credit Rating |
| Kim and In ( 2007) |
G7 countries (1957 – 2001) |
Maximal Overlap Discrete Wavelet Transform (MODWT) Wavelet Correlation Analysis, long horizon regression |
Short and Long-Term Investment Horizons |
| P. de Goeij and Marquering ( 2004) |
U.S. (1982 – 2001) |
Asymmetric Diagonal VECH model (MGARCH) |
Leverage Effect |
| P. de Goeij and Marquering ( 2009) |
U.S. (1982 – 2005) |
Level Asymmetric Diagonal VECH model (MGARCH) |
Leverage Effect |
| Wu and Lin ( 2014) |
U.S. (1992 – 2009) |
CCC-MGARCH, DCC-MGARCH and Copula-based GARCH model |
Leverage Effect |
