matrix approximates the true latent covariance, a model that uses high frequency information for the correlation is more … correlation, the multivariate model tends to produce forecasts of tail risk which are lower than the realized tail risk, under the … ; volatility asymmetry ; mixed frequency model ; conditional correlation ; risk evaluation …

It is widely observed that primary commodity prices comove. A parallel literature asserts that correlation risk matters … for financial returns. Our novel study connects these topics and presents evidence that commodity correlation risk is both … correlation risk is positively related to commodity returns and the strongest impact of risk upon return is more recent. We also …

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by … portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …

Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios … traditional Markowitz portfolio optimisation to the more recently popular risk-based portfolio optimisation. Our model is shown to … provide superior risk-adjusted returns for a currency carry trade strategy over the period 1999-2014 …

continue this development in the future, innovative leading risk indicators can make a significant contribution. If designed … leading risk indicators is positively influenced by the ongoing digital transformation in the maritime industry. With an … increasing amount of data from ship operation becoming available, these can be exploited in innovative risk management solutions …