This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Recent theoretical works have found a link between return sign forecastability and conditional volatility. This paper compares the predictive performance of the conditional country risk and the conditional residual risk in forecasting the direction of change in the return on the UK stock market...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that the size of the distortion is strictly tied to the...

Given the tremendous growth of factor allocation strategies in active and passive fund management, we investigate whether factor or sector asset allocation strategies provide investors with a superior performance. Our focus is on comparing factor versus sector allocations as some recent...

Employing both the mean-variance framework and the common portfolio risk-optimization, this study adds to the investment research by examining how ideal holdings for emerging and frontier markets (EFM) of the four global regions (Asian, Europe, and Commonwealth of Independent States (Eastern +...

Recently, consistent measures of the ex-post covariation of financial assets based on noisy high-frequency data have been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data based covariance measures. The aim of this paper is to...

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariancematrices, the model generates...

The choice and estimation of joint probability distribution function are key steps in portfolio optimization problem. As such distribution functions pair-copula constructions (PCC), or vine-copulae, on arbitrary R-vines are used. For the investor with exponential utility criterion the NYSE oil...