Aboura, Sofiane; Chevallier, Julien - In: Economics Letters 122 (2014) 2, pp. 289-295
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 of examining the volatility equicorrelations,...