Advances in Risk Management

256 Table 13.3 Minimal out-of-control ARL of the multivariate MEWMA, MEWMAas, MC1, MCUSUM,T^2 charts for different values of par ...

257 Table 13.4Minimal out-of-control ARL of the simultaneous MEWMA, MEWMAas, MC1, MCUSUM,T^2 charts for different values of para ...

258 MONITORING COVARIANCES OF ASSET RETURNS than other competitors. In second places the asymptotic MEWMAchart. For moderate and ...

OLHA BODNAR 259 All these control charts are of the residual type. To construct them we have made use of the findings presented ...

260 MONITORING COVARIANCES OF ASSET RETURNS Proof of Theorem 2 In this proof we make use of the same notation as in proving Theo ...

OLHA BODNAR 261 tij∼N(0, 1)i=1,...,q,j=1,...,i, andtiiandtijare mutually independently distributed. Hence, the expectation of th ...

262 MONITORING COVARIANCES OF ASSET RETURNS Here we have applied Theorem 3.2.14 of Muirhead (1982), for example the fact thattii ...

OLHA BODNAR 263 Bodnar, T. (2004) “Optimal Portfolios in an Elliptical Model – Statistical Analysis and Tests for Efficiency”, P ...

264 MONITORING COVARIANCES OF ASSET RETURNS Runger, G., Alt, F.B. and Montgomery, D. (1996) “Contributors to a Multivariate Stat ...

CHAPTER 14 An Empirical Study of Time-Varying Return Correlations and the Efficient Set of Portfolios Thadavillil Jithendranatha ...

266 TIME-VARYING RETURN CORRELATIONS AND PORTFOLIOS with other securities in the portfolio. Other studies have indicated that th ...

THADAVILLIL JITHENDRANATHAN 267 14.2 EMPIRICAL METHODOLOGY AND DATA In portfolio optimization models, the objective is to maximi ...

268 TIME-VARYING RETURN CORRELATIONS AND PORTFOLIOS is the commonly used rolling estimator, where the unconditional means, varia ...

THADAVILLIL JITHENDRANATHAN 269 The correlation estimator is: ρ12,t= q12,t √ q11,tq22,t (14.12) This model will be mean-revertin ...

270 TIME-VARYING RETURN CORRELATIONS AND PORTFOLIOS for the last week of the time period, which is 27 December 2004. In this way ...

THADAVILLIL JITHENDRANATHAN 271 Table 14.1 Descriptive statistics of weekly returns from 9 January 1995 to 27 December 2004 Name ...

272 TIME-VARYING RETURN CORRELATIONS AND PORTFOLIOS The plots indicate how the GARCH model is able to capture the changes in vol ...

THADAVILLIL JITHENDRANATHAN 273 correlations are calculated using equation (14.8) and, in a similar fashion as the standard devi ...

274 TIME-VARYING RETURN CORRELATIONS AND PORTFOLIOS Table 14.2 Descriptive statistics ofex postreturns of efficient portfolios M ...

THADAVILLIL JITHENDRANATHAN 275 Table 14.3OLS regression output forex postreturns against the DCC dummy Period αβAdj. R^2 Obs. ( ...