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Applied Economics Letters Volume 20, 2013 - Issue 18
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Original Articles

An equicorrelation measure for equity, bond, foreign exchange and commodity returns

Sofiane AbouraDRM Finance, Université Paris Dauphine, Place du Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, France
&
Julien ChevallierIPAG Business School, IPAG Lab, 184 Boulevard Saint-Germain, 75006Paris, FranceCorrespondence[email protected]
Pages 1618-1624 | Published online: 23 Sep 2013

References

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  • Chong, J. and Miffre, J. (2010) Conditional correlation and volatility in commodity futures and traditional asset markets, Journal of Alternative Investments, 12, 61–75.
  • Engle, R. (2009) Anticipating Correlations: A New Paradigm for Risk Management, Princeton University Press, Princeton, NJ, 154 p.
  • Engle, R. and Kelly, B. (2012) Dynamic equicorrelation, Journal of Business & Economic Statistics, 30, 212–28.
  • Engle, R., Shephard, N. and Sheppard, K. (2008) Fitting vast dimensional time-varying covariance models, Discussion Paper Series #403, University of Oxford, Department of Economics, Oxford, 39 p.
  • Groth, M. and Thastrom, P. (2009) Dynamic conditional correlation models in a multiple financial asset portfolio, Journal of Alternative Investments, 12, 8–20.
  • Longin, F. and Solnik, B. (1995) Is the correlation in international equity returns constant: 1960–1990?, Journal of International Money and Finance, 14, 3–26.
  • Longin, F. and Solnik, B. (2001) Extreme correlation of international equity markets, Journal of Finance, 56, 649–76.

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