کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053861 | 1476528 | 2014 | 9 صفحه PDF | دانلود رایگان |
- New methodology to create cross-market index
- Factor modeling, coupled with DCC model
- Original results applied to cross-market dataset
- Interest for practitioners to replicate methodology tailored to their needs
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.
Journal: Economic Modelling - Volume 40, June 2014, Pages 158-166