TY  - BOOK
AU  - ABOURA, Sofiane
TI  - An equicorrelation measure for equity, bond, foreign exchange and commodity returns
PY  - 2013///
CY  - New York
PB  - Taylor & Francis
KW  - DECO
KW  - cross market
KW  - equity
N2  - 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
UR  - https://doi.org/10.1080/13504851.2013.829192
ER  -