In this paper we present a novel and highly flexible method to simulate correlation matrices of financial markets. It … produces realistic outcomes regarding stylized facts of empirical correlation matrices and requires no asset return input data …-inspired algorithms. The approach can be used for pricing, hedging and trading correlation-based financial products. We demonstrate the …

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 to what extent correlations between oil and equity prices can be exploited … for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …

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 …

asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts …

estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation …

correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …