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The cross-market index for volatility surprise

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifier
dc.contributor.authorChevallier, Julien
HAL ID: 7536		*
dc.date.accessioned2014-03-31T08:01:17Z
dc.date.available2014-03-31T08:01:17Z
dc.date.issued2014-02
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12986
dc.language.isoenen
dc.subjectcross-market indexen
dc.subjectFactor-DCCen
dc.subjectvolatility surpriseen
dc.subjectasset managementen
dc.subject.ddc332en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelC.C5.C51en
dc.subject.classificationjelC.C5.C58en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G12
dc.subject.classificationjelG.G1.G14
dc.titleThe cross-market index for volatility surpriseen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameJournal of Asset Management
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2014-02
dc.relation.isversionofjnlpages7-23en
dc.relation.isversionofdoi10.1057/jam.2014.5en
dc.relation.isversionofjnlpublisherPalgrave Macmillanen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01531250*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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