This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...

This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which...

The recent introduction into the Italian mutual fund market of Morningstar performance rating of private institutions gives rise to the question of what is the relation between this relative benchmark measure and the other traditional performance measures. This paper provides a comprehensive...

Equity investment styles have been in use for many years in American financial markets. They have proven to be important reference points used in the creation of asset allocation strategies for mutual funds and to coordinate the monthly strategy with the daily stock selection. The formation of a...

The recent introduction into the Italian mutual fund market of Morningstar performance rating of private institutions gives rise to the question of what is the relation between this relative benchmark measure and the other traditional performance measures. This paper provides a comprehensive...