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Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets
- Source :
- Applied Economics, Applied Economics, Taylor & Francis (Routledge), 2015, 47 (47), ⟨10.1080/00036846.2015.1042139⟩
- Publication Year :
- 2015
- Publisher :
- HAL CCSD, 2015.
-
Abstract
- International audience; This article addresses the issue of measuring the level of aggregate financial stress on stock markets, which is a central issue for investors and policy-makers. To this end, Realized EquiCorrelation (REC) is obtained by plugging realized volatility as an input into the Dynamic EquiCorrelation (DECO) model where both the continuous and jump components of realized volatility are considered. An application is provided for the 20 major stock markets over January 2000–May 2014 using intra-day data. The results remarkably pick up financial stress periods.
- Subjects :
- Economics and Econometrics
Realized variance
Financial economics
DECO
Co-jumps
Financial stress
01 natural sciences
Realized EquiCorrelation
010104 statistics & probability
0502 economics and business
Stocks
Economics
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics
0101 mathematics
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C50 - General
Stock (geology)
050208 finance
High-frequency data
05 social sciences
Equity (finance)
Stock markets
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading
Jump
[SHS.GESTION]Humanities and Social Sciences/Business administration
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates
Subjects
Details
- Language :
- English
- ISSN :
- 00036846 and 14664283
- Database :
- OpenAIRE
- Journal :
- Applied Economics, Applied Economics, Taylor & Francis (Routledge), 2015, 47 (47), ⟨10.1080/00036846.2015.1042139⟩
- Accession number :
- edsair.doi.dedup.....695f6b16b9dbba4c3671a99c552cfd21