|Appears in Collections:||Computing Science and Mathematics Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Risk appetite and jumps in realized correlation|
|Keywords:||realized correlation jumps|
time-varying risk aversion
|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.|
|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/).|
|mathematics-08-02255.pdf||Fulltext - Published Version||860.47 kB||Adobe PDF||View/Open|
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