Forecasting international stock market correlations: does anything beat a CCC?

Arbeitspapier

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock market indices. In contrast to previous studies only the correlation and not the entire covariance matrix is forecasted and multi-step forecasts are considered. The forecast comparison is done by considering statistical and economic criteria. The results suggest that under a statistical criterion time-varying correlation models perform quite well for weekly data, but cannot outperform the constant correlation model for daily data. Considering economic criteria it is hard to beat a constant correlation model.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Papers in Statistics and Econometrics ; No. 7/10

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Forecasting Models; Simulation Methods ; Financial Forecasting and Simulation
• Thema: dynamic conditional correlation ; regime switching ; stochastic correlation ; smooth correlations ; indirect model comparison ; portfolio construction

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Manner, Hans ; Reznikova, Olga
• Ereignis: Veröffentlichung
• (wer): University of Cologne, Seminar of Economic and Social Statistics
• (wo): Cologne
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/45359
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ