An equicorrelation measure for equity, bond, foreign exchange and commodity returns
Author
Abstract
Suggested Citation
DOI: 10.1080/13504851.2013.829192
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- repec:taf:jnlbes:v:30:y:2012:i:2:p:212-228 is not listed on IDEAS
- Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
- Rachael Carroll & Colm Kearney, 2012. "Do trading volumes explain the persistence of GARCH effects?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(23), pages 1993-2008, December.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008.
"Fitting vast dimensional time-varying covariance models,"
OFRC Working Papers Series
2008fe30, Oxford Financial Research Centre.
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:20:y:2013:i:18:p:1618-1624. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEL20 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.