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Article Dans Une Revue Economics Letters Année : 2014

Volatility equicorrelation: A cross-market perspective

Résumé

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.
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Dates et versions

hal-01531237 , version 1 (01-06-2017)

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Julien Chevallier, Sofiane Aboura. Volatility equicorrelation: A cross-market perspective. Economics Letters, 2014, 122 (2), pp.289-295. ⟨10.1016/j.econlet.2013.12.008⟩. ⟨hal-01531237⟩
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