Title: Handling risk-on/risk-off dynamics with correlation regimes and correlation networks
Authors : Papenbrock, Jochen
Schwendner, Peter
Published in : Financial markets and portfolio management
Volume(Issue) : 29
Issue : 2
Pages : 125
Pages to: 147
Publisher / Ed. Institution : Springer
Issue Date: 2015
License (according to publishing contract) : Licence according to publishing contract
Type of review: Peer review (Publication)
Language : English
Subjects : Asset management; Correlation; FinTech; Managed future
Subject (DDC) : 332: Financial economics
Abstract: In this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were previously; cluster tracking shows that asset classes are now less separated. We identify distinct “risk-on” and “risk-off” assets with the help of correlation networks. In addition to visualizing, we quantify these observations using suitable metrics for the clusters and correlation networks. The framework will be useful for financial risk management, portfolio construction, and asset allocation.
Departement: School of Management and Law
Organisational Unit: Institute of Wealth & Asset Management (IWA)
Publication type: Article in scientific Journal
DOI : 10.1007/s11408-015-0248-2
ISSN: 1934-4554
2373-8529
URI: https://digitalcollection.zhaw.ch/handle/11475/9883
Appears in Collections:Publikationen School of Management and Law

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.