Aboura, Sofiane; Chevallier, Julien - In: Economic Modelling 40 (2014) C, pp. 158-166
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...