return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed …

Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic … theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore … imperative to make rigorous statistical inference on correlation matrix equality between the two groups of countries. However, if …

version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Addressing the view that recent hikes in the commodity-equity correlation will only be temporary, this paper … commodity-equity correlation, and it does so to indices from 45 equity markets. Of them, 32 demonstrate an upward long-run trend … in their correlations with the commodity futures market throughout the last decade, and 43 have had their correlation …

version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

pairwise correlation among 34 anomalies, which helps to explain both the time-series and the cross-sectional anomaly return …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …

recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC …