Cross-market index with Factor-DCC

Julien Chevallier and Sofiane Aboura
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Sofiane Aboura: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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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
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Citations: View citations in EconPapers (4)

Published in Economic Modelling, 2014, 40, pp.158-166. ⟨10.1016/j.econmod.2014.04.001⟩

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

DOI: 10.1016/j.econmod.2014.04.001

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