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Volatility equicorrelation: A cross-market perspective · Study

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ArticleVolatility equicorrelation: A cross-market perspective

Sofiane Aboura2013

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Articlegreen2013

Volatility equicorrelation: A cross-market perspective

Sofiane Aboura · Julien Chevallier

28 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1988A Capital Asset Pricing Model with Time-Varying Covariances 2001Extreme Correlation of International Equity Markets 1990Correlations in Price Changes and Volatility across International Stock Markets 1995Is the correlation in international equity returns constant: 1960–1990?2002Asymmetric correlations of equity portfolios 2006Facts and Fantasies about Commodity Futures 1992On the Behaviour of Commodity Prices 2006The Strategic and Tactical Value of Commodity Futures

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2021Inflation synchronization among the G7and China: The important role of oil inflation 2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets

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Details

Year2013

Typearticle

Published2013-12-16

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2013.12.008

openalex_workW1991740147

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