Table 2: Optimal values of quantification coefficients (ξ) and the median optimal Spearman's correlations corresponding to market combination (ii) for different training windows.

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

10.560.290.100.030.02 0 . 5 8 0 5
20.580.110.120.170.02 0 . 5 5 0 0
30.740.000.170.020.07 0 . 5 6 9 7
40.790.070.140.000.00 0 . 5 7 9 9
50.560.170.040.230.00 0 . 5 9 0 4
60.660.040.090.200.01 0 . 5 3 6 8

Significant at 5% level