For over a decade, academic and industry economists argued that the negative correlation between returns on stocks and … portfolio management strategies. Does this negative correlation give rise to the possibility of unexploited profit opportunity … in the financial markets? Using a rational asset-pricing model, we argue that such a negative correlation could arise as …

specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …