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Article dans une revue Economic Modelling Année : 2014

Cross-market index with Factor-DCC

Résumé

This paper proposes a new empirical methodology for computing a cross-market index – coined CMI – based on the Factor DCC-model. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to a multi-asset market data composed of equities, bonds, foreign exchange rates and commodities during 1983–2013. This new methodology may be attractive to asset managers, since it provides a simple way of constructing passive portfolios customized on any asset class
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Dates et versions

hal-01531234, version 1 (01-06-2017)

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Julien Chevallier, Sofiane Aboura. Cross-market index with Factor-DCC. Economic Modelling, 2014, 40, pp.158-166. ⟨10.1016/j.econmod.2014.04.001⟩. ⟨hal-01531234⟩
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