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dc.contributor.authorAboura, Sofiane
dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2013-09-25T12:42:14Z
dc.date.available2013-09-25T12:42:14Z
dc.date.issued2013-12
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11710
dc.language.isoenen
dc.subjectDECOen
dc.subjectcross-marketen
dc.subjectequityen
dc.subjectbondsen
dc.subjectforeign exchangeen
dc.subjectcommoditiesen
dc.subject.ddc332en
dc.subject.classificationjelC32en
dc.subject.classificationjelG10en
dc.subject.classificationjelQ40en
dc.titleAn equicorrelation measure for equity, bond, foreign exchange and commodity returnsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameApplied Economics Letters
dc.relation.isversionofjnlvol20en
dc.relation.isversionofjnlissue18en
dc.relation.isversionofjnldate2013-12
dc.relation.isversionofjnlpages1618-1624en
dc.relation.isversionofdoihttp://dx.doi.org/10.1080/13504851.2013.829192en
dc.relation.isversionofjnlpublisherTaylor & Francisen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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