Dynamic Conditional Correlation Models in a Multiple Financial Asset Portfolio

Groth, Martin; Thåström, Per

doi:10.3905/jai.2009.12.1.008

Cited by 5 publications

(2 citation statements)

References 34 publications

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“…The volatility of equity markets has been studied extensively along the asymmetric reaction to negative and positive shocks (e.g. Groth and Thastrom, 2009). Considerable academic research has also examined the volatility of currencies (Wang and Yang, 2009), metals (Baur and Lucey, 2010;Coudert and Raymond-Feingold, 2011), energies (Linn and Zhu, 2004;Salisu and Fasanya, 2013) and agricultures (Ramirez and Fadiga, 2003).…”

Section: Introductionmentioning

confidence: 99%

Beyond the negative relation between return and conditional volatility in the wine market

Bouri

2014

International Journal of Wine Business Research

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Purpose – The purpose of this paper is to examine fine wine’s safe-haven status with respect to US equity movements. Design/methodology/approach – We use a generalized autoregressive conditional heteroscedasticity model and its variant to measure the asymmetric reaction to positive and negative shocks. Findings – Our empirical results show an inverted asymmetric volatility in the wine market; positive shocks increase the conditional volatility more than negative shocks. That is the opposite reaction in the volatility of equity returns occurs in the wine market. As leverage effect and volatility feedback effect do not adequately explain this reaction, we follow the work of Baur (2012) and propose the safe haven effect. Several robustness tests largely confirm the empirical findings, with major implications for wine investors. Finally, we provide further evidence on the benefits of adding wine investments to an equity portfolio through an increase in risk reduction effectiveness. Research limitations/implications – Based on the results of the robustness analysis, the recommendations in terms of including fine wines in portfolios must be issued with caution. Practical implications – Our findings are crucial to the needs of market participants who are interested in including wine assets in their equity portfolio. Originality/value – No previous study investigates the safe haven property of fine wine return, and accounts for risk reduction effectiveness when adding wine assets to a portfolio of US equities.

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Section: Introductionmentioning

confidence: 99%

Beyond the negative relation between return and conditional volatility in the wine market

Bouri

2014

International Journal of Wine Business Research

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“…We may cite the work by Carroll and Kearney (2012), who study in the DECO framework the relationship between trading volumes and volatility based on the top 20 nonfinancial Fortune 500 firms in 2005. Besides, Groth and Thastrom (2009) have estimated various DCC models (including DECO) for highly diversified portfolios of managed futures. Regarding the investigation of conditional correlations in commodity markets, we may only refer to the recent work by Chong and Miffre (2010) which is limited to the univariate GARCH(1,1) model.…”

Section: Introductionmentioning

confidence: 99%

An equicorrelation measure for equity, bond, foreign exchange and commodity returns

Aboura

Chevallier

2013

Applied Economics Letters

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This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983-2013. The results reveal that the average cross-market equicorrelation is around 47%, although it is found to be time-varying and mean-reverting. Besides, we display the equicorrelation across markets as a natural way of looking at the DECO dynamics, which overcomes the cumbersome estimation difficulties encountered with multivariate GARCH models. Implications are derived in terms of asset management.

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Volatility equicorrelation: A cross-market perspective

Aboura

Chevallier

2014

Economics Letters

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Dynamic Conditional Correlation Models in a Multiple Financial Asset Portfolio

Cited by 5 publications

References 34 publications

Beyond the negative relation between return and conditional volatility in the wine market

Beyond the negative relation between return and conditional volatility in the wine market

An equicorrelation measure for equity, bond, foreign exchange and commodity returns

Volatility equicorrelation: A cross-market perspective

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