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The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds and equities, in the USA and Europe. Using a...
Persistent link: https://www.econbiz.de/10011011517
Brière, Burgues, and Signori examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An...
Persistent link: https://www.econbiz.de/10011011545
Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a...
Persistent link: https://www.econbiz.de/10011011576
In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities,...
Persistent link: https://www.econbiz.de/10011011631
A summary of this paper, by Jason X. Lan, has been published in CFA Digest, May 2009, 24-25
Persistent link: https://www.econbiz.de/10008590402