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Article Dans Une Revue Journal of Asset Management Année : 2014

The cross-market index for volatility surprise

Résumé

This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to 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, because it provides a simple way to hedge multi-asset portfolios with derivatives contracts written on the CMIX.
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Dates et versions

hal-01531250 , version 1 (01-06-2017)

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Sofiane Aboura, Julien Chevallier. The cross-market index for volatility surprise. Journal of Asset Management, 2014, 15 (1), pp.7-23. ⟨10.1057/jam.2014.5⟩. ⟨hal-01531250⟩
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