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Cross-market volatility index with Factor-DCC

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Date
2015-12
Dewey
Economie financière
Sujet
Cross-market index; Factor-DCC; Volatility surprise; Asset management
JEL code
C.C3.C32; G.G0.G01; F.F1.F15
Journal issue
International Review of Financial Analysis
Volume
42
Publication date
12-2015
Article pages
132–140
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.irfa.2014.06.003
URI
https://basepub.dauphine.fr/handle/123456789/13801
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 paper proposes a new empirical methodology for computing a cross-market volatility index – coined CMIX – based on the Factor DCC-model, implemented on volatility surprises. 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 to hedge multi-asset portfolios with derivative contracts written on the CMIX.

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