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Article dans une revue International Review of Financial Analysis Année : 2015

Cross-market volatility index with Factor-DCC

Résumé

This paper proposes a new empirical methodology for computing a cross-market volatility index – coined CMIX – based on the Factor DCC-model, implemented on volatility surprises. 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 to hedge multi-asset portfolios with derivative contracts written on the CMIX.
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Dates et versions

halshs-01348723, version 1 (25-07-2016)

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Sofiane Aboura, Julien Chevallier. Cross-market volatility index with Factor-DCC. International Review of Financial Analysis, 2015, 42 (132–140), ⟨10.1016/j.irfa.2014.06.003⟩. ⟨halshs-01348723⟩
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