An equicorrelation measure for equity, bond, foreign exchange and commodity returns

By:

ABOURA, Sofiane

Material type: Text

TextSeries: Applied Economics Letters ; Volume , number ,New York Taylor & Francis 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Online resources:

Click here to access online

Summary: This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983–2013. The results reveal that the average cross-market equicorrelation is around 47%, although it is found to be time-varying and mean-reverting. Besides, we display the equicorrelation across markets as a natural way of looking at the DECO dynamics, which overcomes the cumbersome estimation difficulties encountered with multivariate GARCH models. Implications are derived in terms of asset management.

Reviews from LibraryThing.com:

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol.20 , No.16 - 18 (Dec 2013)	Not for loan	For In House Use Only

Browsing Main Library shelves, Shelving location: - Special Collections Close shelf browser (Hides shelf browser)

Previous	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	Next
Previous	HB1.A666 APP On the determinants of exchange rate misalignments	HB1.A666 APP Testing the efficiency of the futures market for crude oil using weighted least squares	HB1.A666 APP Trade collapse, quality and food exports	HB1.A666 APP An equicorrelation measure for equity, bond, foreign exchange and commodity returns	HB1.A666 APP Insider trading and blackout periods evidence from Italy	HB1.A666 APP Does attending a key school have a quality premium? A regression discontinuity analysis	HB1.A666 APP Short-run and long-run causalities between happiness, income and unemployment in Japan	Next

This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983–2013. The results reveal that the average cross-market equicorrelation is around 47%, although it is found to be time-varying and mean-reverting. Besides, we display the equicorrelation across markets as a natural way of looking at the DECO dynamics, which overcomes the cumbersome estimation difficulties encountered with multivariate GARCH models. Implications are derived in terms of asset management.

There are no comments on this title.

to post a comment.

here