Ang, A., and G. Bekaert, 1999, International asset allocation with time-varying correlations, Working paper, Columbia Business School. Home/Search Document Details and Download
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Asymmetric cross-sectional dispersion in stock returns: Evidence.. - Duffee (2000) (Correct)
....given the recent behavior of these markets. The wellknown negative skewness of aggregate U.S. stock market returns is also consistent with a 1 The literature apparently began with Erb, Harvey, and Viskanta (1994) Additional evidence and references are in Longin and Solnick (2000) and Ang and Bekaert (1999) 1 model in which common shocks occasionally exhibit downward jumps. 2 Why is non market volatility higher when the overall market rises I argue that this pattern is a consequence of positive skewness in business sector news. I use this term to refer to news that is big enough to a#ect the ....
Ang, A., and G. Bekaert, 1999, International asset allocation with time-varying correlations, Working paper, Columbia Business School.
Are Correlations of Stock Returns Justied by Subsequent.. - Dumas, Harvey, Ruiz (2000) (Correct)
....model was a present value model with unspecified, potentially stochastic discount rates. In the present paper, the valuation equation is derived from optimal portfolio choices. 7 Among the more recent investigations, see Longin and Solnik (1995) Erb, Harvey and Viskanta (1994) and Ang and Bekaert (1999). See also Bansal and Lundblad (2000) 8 Bekaert and Harvey (1995) link correlation with the degree of market integration. Freimann (1998) o#ers an alternative, entirely statistical procedure based on randomization of industrial sector returns, to compare country correlations to what they would ....
....process. 10 For instance, non US stock returns tend to have a higher correlation with US stock returns while the US is in a recession than while it is in an expansion. Volatility of returns is also larger while the US is in a recession. See also Perez Quiros and Timmermann (1996) and Ang and Bekaert (1999). 7 the volatilities of the innovations for each cycle are constant (homoskedasticity) and that the innovations are independent of each other across cycle types. Throughout, d t denotes a vector of logarithms of outputs of a number of countries. We postulate a dynamic single index model. 11 ....
Bekaert, G. and A. Ang, 1999, "International Asset Allocation with TimeVarying Correlations," Unpublished working paper, Columbia University.
Are Correlations of Stock Returns Justied by Subsequent.. - Dumas, Harvey, Ruiz (2000) (Correct)
....pricing model was a present value model with unspecified, potentially stochastic discount rates. In the present paper, the valuation equation is derived from optimal portfolio choices. 7 Among the more recent investigations, see Longin and Solnik (1995) Erb, Harvey and Viskanta (1994) and Ang and Bekaert (1999). See also Bansal and Lundblad (2000) 8 Bekaert and Harvey (1995) link correlation with the degree of market integration. Freimann (1998) o#ers an alternative, entirely statistical procedure based on randomization of industrial sector returns, to compare country correlations to what they would ....
....GARCH process. 10 For instance, non US stock returns tend to have a higher correlation with US stock returns while the US is in a recession than while it is in an expansion. Volatility of returns is also larger while the US is in a recession. See also Perez Quiros and Timmermann (1996) and Ang and Bekaert (1999). 7 the volatilities of the innovations for each cycle are constant (homoskedasticity) and that the innovations are independent of each other across cycle types. Throughout, d t denotes a vector of logarithms of outputs of a number of countries. We postulate a dynamic single index model. 11 ....
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Ang, A. and G. Bekaert, 1999, "International Asset Allocation with Timevarying Correlations," NBER working paper #7056.
The Distribution of Exchange Rate Volatility - Andersen, Bollerslev, Diebold, .. (1999) (16 citations) (Correct)
....distribution) In each case, the distribution of corr t conditional on being in the high volatility state is clearly shifted to the right. A similar correlation effect in volatility has been documented for international equity returns by Solnik, Boucrelle and Le Fur (1996) among others, while Ang and Bekaert (1999) have explored the optimal portfolio implications of such an effect. Of course, given that the high frequency returns are positively correlated, some separation is to be expected (e.g. Ronn, 1998, and Forbes and Rigobon, 1999) However, the magnitude of the effect is nonetheless noteworthy. 5. ....
....to the overall level of volatility, the lower numerical values suggest that the benefits to international diversification may be the greatest over longer investment horizons. 6. 2 The Conditional Distribution: Dynamic Dependence, Fractional Integration and Scaling Andersen, Bollerslev and Lange (1999) have recently shown that, given the estimates typically obtained at 15 the daily level, from a theoretical perspective the integrated volatility should remain strongly serially correlated and highly predictable under temporal aggregation, even at the monthly level. The Ljung Box statistics ....
Ang, A. and Bekaert, G. (1999), "International Asset Allocation with Time-Varying Correlations," NBER Working Paper No.7056.
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