Table 1: Optimal values of quantification coefficients (ξ) and the median optimal Spearman's correlations corresponding to market combination (i) for different training windows.

Training window no.Optimal values of 𝜉 Optimal median Spearman’s correlation
GSPCFTSEFCHIGDAXI

10.570.300.110.02 0 . 5 7 8 2
20.610.180.080.13 0 . 5 4 7 8
30.770.090.130.01 0 . 5 6 8 0
40.790.060.150.00 0 . 5 7 9 0
50.560.170.030.24 0 . 5 9 0 4
60.660.060.080.20 0 . 5 3 5 9

Significant at 5% level