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https://doi.org/10.21256/zhaw-9883| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Handling risk-on/risk-off dynamics with correlation regimes and correlation networks |
| Autor/-in: | Papenbrock, Jochen Schwendner, Peter |
| DOI: | 10.1007/s11408-015-0248-2 10.21256/zhaw-9883 |
| Erschienen in: | Financial Markets and Portfolio Management |
| Band(Heft): | 29 |
| Heft: | 2 |
| Seite(n): | 125 |
| Seiten bis: | 147 |
| Erscheinungsdatum: | 2015 |
| Verlag / Hrsg. Institution: | Springer |
| ISSN: | 1934-4554 2373-8529 |
| Sprache: | Englisch |
| Schlagwörter: | Asset management; Correlation; FinTech; Managed future |
| Fachgebiet (DDC): | 332: Finanzwirtschaft |
| Zusammenfassung: | 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. |
| Weitere Angaben: | Erworben im Rahmen der Schweizer Nationallizenzen (http://www.nationallizenzen.ch) |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/9883 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | Lizenz gemäss Verlagsvertrag |
| Departement: | School of Management and Law |
| Organisationseinheit: | Institut für Wealth & Asset Management (IWA) |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2015_Papenbrock-Schwendner_Handling-Risk-on-Risk-off-Dynamics_FMPM.pdf | 1.3 MB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Papenbrock, J., & Schwendner, P. (2015). Handling risk-on/risk-off dynamics with correlation regimes and correlation networks. Financial Markets and Portfolio Management, 29(2), 125–147. https://doi.org/10.1007/s11408-015-0248-2
Papenbrock, J. and Schwendner, P. (2015) ‘Handling risk-on/risk-off dynamics with correlation regimes and correlation networks’, Financial Markets and Portfolio Management, 29(2), pp. 125–147. Available at: https://doi.org/10.1007/s11408-015-0248-2.
J. Papenbrock and P. Schwendner, “Handling risk-on/risk-off dynamics with correlation regimes and correlation networks,” Financial Markets and Portfolio Management, vol. 29, no. 2, pp. 125–147, 2015, doi: 10.1007/s11408-015-0248-2.
PAPENBROCK, Jochen und Peter SCHWENDNER, 2015. Handling risk-on/risk-off dynamics with correlation regimes and correlation networks. Financial Markets and Portfolio Management. 2015. Bd. 29, Nr. 2, S. 125–147. DOI 10.1007/s11408-015-0248-2
Papenbrock, Jochen, and Peter Schwendner. 2015. “Handling Risk-on/Risk-off Dynamics with Correlation Regimes and Correlation Networks.” Financial Markets and Portfolio Management 29 (2): 125–47. https://doi.org/10.1007/s11408-015-0248-2.
Papenbrock, Jochen, and Peter Schwendner. “Handling Risk-on/Risk-off Dynamics with Correlation Regimes and Correlation Networks.” Financial Markets and Portfolio Management, vol. 29, no. 2, 2015, pp. 125–47, https://doi.org/10.1007/s11408-015-0248-2.
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