Volatility equicorrelation: A cross-market perspective
Chevallier, Julien; Aboura, Sofiane (2014), Volatility equicorrelation: A cross-market perspective, Economics Letters, 122, 2, p. 289–295. 10.1016/j.econlet.2013.12.008
Type
Article accepté pour publication ou publiéDate
2014-02Journal name
Economics LettersVolume
122Number
2Publisher
Elsevier
Pages
289–295
Publication identifier
Metadata
Show full item recordAbstract (EN)
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 in 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.Subjects / Keywords
DECO; Cross-market; Volatility equicorrelationRelated items
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