Beyond the negative relation between return and conditional volatility in the wine market: is fine wine particularly luscious for investors?
E I. Bouri - International Journal of Wine Business Research, 2014 - emerald.com
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 …
to US equity movements. Design/methodology/approach–We use a generalized …
Volatility equicorrelation: A cross-market perspective
S Aboura, J Chevallier - Economics Letters, 2014 - Elsevier
This paper contains the first empirical application of the Dynamic Equicorrelation (DECO)
model to a cross-market dataset composed of equities, bonds, foreign exchange rates and …
model to a cross-market dataset composed of equities, bonds, foreign exchange rates and …
An equicorrelation measure for equity, bond, foreign exchange and commodity returns
S Aboura, J Chevallier - Applied Economics Letters, 2013 - Taylor & Francis
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 …
model to a cross-market data set composed of equities, bonds, foreign exchange and …
Hedge fund benchmarking: equity correlation regimes and alpha
JB Baesel, JF González-Heres… - The Journal of …, 2013 - jai.pm-research.com
The authors analyze the effect of realized cross-sectional correlations of the S&P 500 on
hedge fund alpha by proposing a unified model that extends the Fama–French five-factor …
hedge fund alpha by proposing a unified model that extends the Fama–French five-factor …