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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifier
dc.contributor.authorChevallier, Julien
HAL ID: 7536
*
dc.date.accessioned2015-05-27T08:34:19Z
dc.date.available2015-05-27T08:34:19Z
dc.date.issued2015-09
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/15097
dc.language.isoenen
dc.subjectCross-Volatility Indexen
dc.subjectCountry Risken
dc.subjectFactor-DCCen
dc.subjectPCAen
dc.subjectLASSOen
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelF.F1.F15en
dc.titleA cross-volatility index for hedging the country risken
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper proposes a new empirical methodology for computing a cross-volatility index, coined CVIX, that characterizes the country risk understood here as the financial market risk measurement. The approach, based on the Factor DCC-model, requires to encapsulate all the sources of risk stemming from the financial markets for any given country. We provide an application to the U.S. economy by constructing an aggregate volatility index composed of implied volatility indexes characterizing the equity market, the FX market, fixed income market and the commodity market. The analysis reveals that 75% of the aggregate risk comes from the commodity market, and that the volatility index average value evolves around 22%. The CVIX provides a better hedging performance than the VVIX used as a benchmark.en
dc.relation.isversionofjnlnameJournal of International Financial Markets, Institutions and Money
dc.relation.isversionofjnlvol38
dc.relation.isversionofjnldate2015-09
dc.relation.isversionofjnlpages25–41
dc.relation.isversionofdoi10.1016/j.intfin.2015.05.008en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01529742*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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