EconPapers    
Economics at your fingertips  
 

Cross-market index with Factor-DCC

Julien Chevallier and Sofiane Aboura
Additional contact information
Sofiane Aboura: DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: 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

Keywords: Cross-market index; Factor-DCC; Asset management (search for similar items in EconPapers)
Date: 2014
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01531234
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Published in Economic Modelling, Elsevier, 2014, 40, pp.158-166. 〈10.1016/j.econmod.2014.04.001〉

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Cross-market index with Factor-DCC (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01531234

DOI: 10.1016/j.econmod.2014.04.001

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-11-24
Handle: RePEc:hal:journl:hal-01531234