References of "Christoffersen, Peter"
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See detailCorrelation Dynamics and International Diversification Benefits
Jin, Xisong UL; Christoffersen, Peter; Errunza, Vihang et al

in International Journal of Forecasting (2014), 30(3), 807824

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for ... [more ▼]

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2012. We show that it is possible to model co-movements for many countries simultaneously using BEKK, DCC, and DECO models. Empirically, we find that correlations have significantly trended upward for both DMs and EMs. Based on a time-varying measure of diversification benefit, we find that it is not possible in a long-only portfolio to circumvent the increasing correlations by adjusting the portfolio weights over time. However, we do find some evidence that adding EMs to a DM-only portfolio increases diversification benefits. [less ▲]

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See detailDynamic Dependence in Corporate Credit
Jin, Xisong UL; Christoffersen, Peter; Jacobs, Kris et al

E-print/Working paper (2013)

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See detailIs the Potential for International Diversification Disappearing?
Jin, Xisong UL; Christoffersen, Peter; Errunza, Vihang et al

E-print/Working paper (2010)

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See detailExploring Dynamic Default Dependence
Jin, Xisong UL; Christoffersen, Peter; Jacobs, Kris et al

E-print/Working paper (2009)

Detailed reference viewed: 39 (0 UL)