Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets
Aboura, Sofiane; Chevallier, Julien (2015), Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets, Applied Economics, 47, 47, p. 5013-5033. 10.1080/00036846.2015.1042139
Type
Article accepté pour publication ou publiéDate
2015Journal name
Applied EconomicsVolume
47Number
47Publisher
Routledge
Pages
5013-5033
Publication identifier
Metadata
Show full item recordAbstract (EN)
This article addresses the issue of measuring the level of aggregate financial stress on stock markets, which is a central issue for investors and policy-makers. To this end, Realized EquiCorrelation (REC) is obtained by plugging realized volatility as an input into the Dynamic EquiCorrelation (DECO) model where both the continuous and jump components of realized volatility are considered. An application is provided for the 20 major stock markets over January 2000–May 2014 using intra-day data. The results remarkably pick up financial stress periods.Subjects / Keywords
Realized EquiCorrelation; DECO; Financial stress; Stock markets; High-frequency data; Co-jumps; StocksRelated items
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