Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets

► We present two new wavelet correlation statistical tools. ► They provide single measures for multivariate sets on a scale-by-scale basis. ► We obtain expressions for confidence intervals of such wavelet multiple correlations. ► We analyze a set of daily Eurozone stock market returns during a recent period. ► We find evidence of perfect integration of Euro stock markets at long time scales.