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The cross-market index for volatility surprise

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Date
2014-02
Dewey
Economie financière
Sujet
cross-market index; Factor-DCC; volatility surprise; asset management
JEL code
C.C2.C22; C.C3.C32; C.C5.C51; C.C5.C58; G.G1.G10; G.G1.G12; G.G1.G14
Journal issue
Journal of Asset Management
Volume
15
Number
1
Publication date
02-2014
Article pages
7-23
Publisher
Palgrave Macmillan
DOI
http://dx.doi.org/10.1057/jam.2014.5
URI
https://basepub.dauphine.fr/handle/123456789/12986
Collections
  • DRM : Publications
Metadata
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Author
Aboura, Sofiane
1032 Dauphine Recherches en Management [DRM]
Chevallier, Julien
status unknown
Type
Article accepté pour publication ou publié
Abstract (EN)
This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to multi-asset market data composed of equities, bonds, foreign exchange rates and commodities during 1983-2013. This new methodology may be attractive to asset managers, because it provides a simple way to hedge multi-asset portfolios with derivatives contracts written on the CMIX.

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