Cross-market index with Factor-DCC
Chevallier, Julien; Aboura, Sofiane (2014), Cross-market index with Factor-DCC, Economic Modelling, 40, p. 158–166. 10.1016/j.econmod.2014.04.001
TypeArticle accepté pour publication ou publié
Journal nameEconomic Modelling
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Abstract (EN)This paper proposes a new empirical methodology for computing a cross-market index – coined CMI – based on the Factor DCC-model. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to a 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, since it provides a simple way of constructing passive portfolios customized on any asset class
Subjects / KeywordsCross-market index; Factor-DCC; Asset management
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