Show simple item record

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifier
dc.contributor.authorChevallier, Julien
HAL ID: 7536
*
dc.date.accessioned2014-08-25T15:15:54Z
dc.date.available2014-08-25T15:15:54Z
dc.date.issued2015-12
dc.identifier.issn1057-5219
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13801
dc.language.isoenen
dc.subjectCross-market indexen
dc.subjectFactor-DCCen
dc.subjectVolatility surpriseen
dc.subjectAsset managementen
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelF.F1.F15en
dc.titleCross-market volatility index with Factor-DCCen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameInternational Review of Financial Analysis
dc.relation.isversionofjnlvol42en
dc.relation.isversionofjnldate2015-12
dc.relation.isversionofjnlpages132–140en
dc.relation.isversionofdoi10.1016/j.irfa.2014.06.003en
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-01275502*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record