During financial crises, interest is strong for analysing market comovements. However, a majority of these analyses is based only on correlations. This article uses Markov switching multifractal models to derive new indicators by considering different horizons for dependency among four stock...

We present a framework for designing optimal allocation strategies for large stock portfolios using dynamic factor models and multivariate volatility parametrisations. We attempt to elaborate on the fundamental structure of the Fama and French (FF) factor model with a special focus on the time...