EconPapers    
Economics at your fingertips  
 

The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities

Xingguo Luo and Xuyuanda Qi

Journal of Futures Markets, 2017, vol. 37, issue 10, 989-1002

Abstract: This paper investigates the dynamic correlations between the G7 economies and China by using the EGARCH/DCC models proposed by Engle and Figlewski ( ). We find that the correlations between the G7 economies can be captured by a one‐factor model when either the realized or implied volatilities are used. Although no significant correlations between China and the G7 countries are captured using realized volatilities, we find that the correlations increased during the 2008 financial crisis. Furthermore, we show that the one‐factor model is useful for hedging the volatility risks of individual countries.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:37:y:2017:i:10:p:989-1002

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-20
Handle: RePEc:wly:jfutmk:v:37:y:2017:i:10:p:989-1002