Volatility equicorrelation: A cross-market perspective

被引：20
|
作者：
Aboura, Sofiane [1 ]
Chevallier, Julien [2 ]
机构：
[1] Univ Paris 09, DRM Finance, F-75775 Paris 16, France
[2] IPAG Business Sch, IPAG Lab, F-75006 Paris, France
来源：
ECONOMICS LETTERS | 2014年 / 122卷 / 02期
关键词：
DECO; Cross-market; Volatility equicorrelation; COMMODITY FUTURES; STOCK MARKETS;
D O I：
10.1016/j.econlet.2013.12.008
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a cross-market dataset composed of equities, bonds, foreign exchange rates and commodities during 1983 2013. The originality of our approach consists of examining the volatility equicorrelations, by updating the concept of 'volatility surprise'. We document that the average volatility equicorrelation across markets is around 15%, while being time-varying with regime shifts before/after September 2005 and with a low mean-reversion level. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：289 / 295
页数：7
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