An equicorrelation measure for equity, bond, foreign exchange and commodity returns
Year of publication: |
2013-12
|
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Authors: | Aboura, Sofiane ; Chevallier, Julien |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | DECO | cross-market | equity | bonds | foreign exchange | commodities |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Applied Economics Letters, 2013, Vol. 20, no. 18. pp. 1618-1624.Length: 6 pages |
Classification: | C32 - Time-Series Models ; G10 - General Financial Markets. General ; Q40 - Energy. General |
Source: |
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An equicorrelation measure for equity, bond, foreign exchange and commodity returns
Aboura, Sofiane, (2013)
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Volatility equicorrelation: A cross-market perspective
Chevallier, Julien, (2014)
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Volatility returns with vengeance: Financial markets vs. commodities
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Volatility returns with vengeance: Financial markets vs. commodities
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Cross-Market Spillovers with 'Volatility Surprise'
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Cross-market index with Factor-DCC
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