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Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-and Post-Crisis Periods AbstractWe investigate the interdependencies among the U.S., U.K., EU and Japanese banking and insurance industries within a VAR-BEKK multivariate-GARCH framework.Cross-market and cross-industry return and volatility transmissions and the changes in these
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AbstractThis paper assesses the economic value of modelling conditional correlations for mean-variance portfolio optimization. Using sector returns in three major markets we show that the predictability of models describing empirical regularities in correlations such as time-variation, asymmetry and structural breaks leads to significant performance gains over the static covariance strategy. Investors would be willing to pay a fee of up to 983 basis points to switch from the static to the dynamic correlation portfolio and about 100 basis points more for capturing asymmetries and shifts in correlations. The gains are robust to the crisis, transaction costs and are most pronounced for monthly rebalancing. C32, C52, C53, F21, G11, G15
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