Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

Mo, Guoli; Zhang, Weiguo; Tan, Cen; Xing, Liu

doi:10.1016/j.najef.2021.101570

Cited by 2 publications

(1 citation statement)

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“…From a wider perspective, finally, it would be interesting to incorporate applied research about the defensive properties of safe-haven currencies into a more general econometric framework, simultaneously assessing the role of other important safe-haven assets. Since this last research line implies the use of large financial datasets, recent contributions on dynamic spatial dependence on international financial markets (Mo et al 2022), and on Bayesian non-parametric models for large dimensional datasets (Billio et al 2019)…”

Section: Discussionmentioning

confidence: 99%

Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)

Tronzano

2023

JRFM

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This paper reassessed the hedging properties of four major safe-haven currencies (US dollar, Swiss franc, euro, yen) in international stock portfolios covering most representative world macroeconomic areas. The main contribution to the existing literature is the emphasis on optimal hedging and asset-allocation strategies. A further distinguishing feature is an accurate comparison, inside a multivariate framework, between value-at-risk simulations assuming equal or optimal asset weights in hedged global stock portfolios. The US dollar stands out as the best safe-haven currency, while adding the US currency to single-hedged global stock portfolios including either the Swiss franc or the euro yields smooth risk profiles during major financial crises, and average risk indicators lower than that of a benchmark fully hedged portfolio.

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Section: Discussionmentioning

confidence: 99%