Cross-market index with Factor-DCC
Julien Chevallier and
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Sofiane Aboura: DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique
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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)
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Published in Economic Modelling, Elsevier, 2014, 40, pp.158-166. 〈10.1016/j.econmod.2014.04.001〉
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Journal Article: Cross-market index with Factor-DCC (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01531234
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