IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v37y2017i10p989-1002.html
   My bibliography  Save this article

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

Author

Listed:
  • Xingguo Luo
  • Xuyuanda Qi

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.

Suggested Citation

  • Xingguo Luo & Xuyuanda Qi, 2017. "The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(10), pages 989-1002, October.
    • Handle: RePEc:wly:jfutmk:v:37:y:2017:i:10:p:989-1002
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "Dynamics and determinants of spillovers across the option-implied volatilities of US equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 257-264.
    2. Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
    3. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
    4. Peng, Huan & Chen, Ruoxun & Mei, Dexiang & Diao, Xiaohua, 2018. "Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 78-85.
    5. Xu Gong & Boqiang Lin, 2022. "Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 610-640, January.

    More about this item

    Statistics

    Access and download statistics

    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:wly:jfutmk:v:37:y:2017:i:10:p:989-1002. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.