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On the correlation between commodity and equity returns : implications for portfolio allocation

Lombardi, Marco; Ravazzolo, Francesco - 2013

Persistent link: https://www.econbiz.de/10009782578

On the Correlation between Commodity and Equity Returns : Implications for Portfolio Allocation

Lombardi, Marco J. - 2014

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices … various measures of correlation. Next, we assess what are the implications of higher correlations between oil and equity … prices for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …

Persistent link: https://www.econbiz.de/10013060233

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...

Persistent link: https://www.econbiz.de/10009714536

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Smooth Transition Patterns in the Realized Stock Bond Correlation

Aslanidis, Nektarios - 2012

This paper explores the time variation in the stock-bond correlation using high-frequency data. Gradual transitions … between regimes of negative and positive stock-bond correlation are well accommodated by the smooth transition regression (STR …

Persistent link: https://www.econbiz.de/10013116164

Smooth Transition Patterns in the Realized Stock Bond Correlation

Aslanidis, Nektarios - 2012

Persistent link: https://www.econbiz.de/10013116168

Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models

Colon, James - 2013

Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

Persistent link: https://www.econbiz.de/10013086014

A Test of Covariance Matrix Forecasting Methods

Zakamulin, Valeriy - 2019

Providing a more accurate covariance matrix forecast can substantially improve the performance of optimized portfolios. Using out-of-sample tests, in this paper, we evaluate alternative covariance matrix forecasting methods by looking at (1) their forecast accuracy, (2) their ability to track...

Persistent link: https://www.econbiz.de/10012904973

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Asgharian, Hossein - 2019

significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …

Persistent link: https://www.econbiz.de/10012899727

Expected Correlation and Future Market Returns

Buss, Adrian - 2019

Implied correlation, jointly extracted from index and stock options, is a robust predictor of long-term market returns …

Persistent link: https://www.econbiz.de/10012900103

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