000			01335nam a22002417a 4500
003			ZW-GwMSU
005			20230914103521.0
008			230914b |||||||| |||| 00| 0 eng d
040			_aMSU _cMSU _erda
100			_aABOURA, Sofiane
245			_aAn equicorrelation measure for equity, bond, foreign exchange and commodity returns
264			_aNew York _bTaylor & Francis _c2013
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aApplied Economics Letters _vVolume , number ,
520			_aThis 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.
650			_aDECO
650			_across market
650			_aequity
856			_uhttps://doi.org/10.1080/13504851.2013.829192
942			_2lcc _cJA
999			_c163254 _d163254