Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/32171
Appears in Collections:Computing Science and Mathematics Journal Articles
Peer Review Status: Refereed
Title: Risk appetite and jumps in realized correlation
Author(s): Demirer, Riza
Gkillas, Konstantinos
Kountzakis, Christos
Mavragani, Amaryllis
Keywords: realized correlation jumps
stock-bond correlation
time-varying risk aversion
Issue Date: Dec-2020
Date Deposited: 15-Jan-2021
Citation: Demirer R, Gkillas K, Kountzakis C & Mavragani A (2020) Risk appetite and jumps in realized correlation. Mathematics, 8 (12), Art. No.: 2255. https://doi.org/10.3390/math8122255
Abstract: This paper examines the role of non-cash flow factors over correlation jumps in financial markets. Utilizing time-varying risk aversion measure as a proxy for investor sentiment and the cross-quantilogram method applied to intraday data, we show that risk aversion captures significant predictive power over realized stock-bond correlation jumps at different quantiles and lags. The predictive relation between correlation jumps and time-varying risk aversion is found to be asymmetric, as we detect a heterogeneous dependence pattern across different quantiles and lag orders. Our findings underline the importance of non-cash flow factors over correlation jumps, highlighting the role of behavioral factors in optimal portfolio allocations and the effectiveness of diversification strategies.
DOI Link: 10.3390/math8122255
Rights: © 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
Licence URL(s): http://creativecommons.org/licenses/by/4.0/

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