Risk-based portfolio strategies - such as Minimum Variance, Maximum Diversification, Equally-Weighted and Risk Parity, to name the most famous - have become increasingly popular in the investment industry due to their return-agnostic and risk management features. In this paper, we show that...

This paper examines the determinants of large comovements in financial markets. More specifically, we analyze the relationship between a dependence indicator drawn from multivariate extreme value theory and a set of bilateral economic and financial factors. Implementation of the idea is realized...

Hedge fund replication is knowing growing interest in the financial industry. Most products make use of factor-based models where one is fitting a model of hedge fund returns in terms of investable market factors (e.g. S&P...). We here investigate whether combination of regression methodologies...

Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of...

We consider the problem of modelling the dependence between financial markets. In financial economics, the classical tool is the Pearson (or linear correlation) coefficient to compare the dependence structure. We show that this coefficient does not give a precise information on the dependence...

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992-2003. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

We propose a specification of the euro/dollar real exchange rate based on the productivity differential, the governments spending differential and the real interest rate differential. This model suitably describes the euro/dollar path over the last two decades and presents satisfactory...

In the last decade, the performances of hedge funds were surprisingly satisfactory and recurrent. However, the bankruptcy of LTCM reminded investors of the risks associated with this asset class. The purpose of this study is to analyse systematically the relationship between the performances of...

We compare the performance of several Value-at-Risk (VaR) models when applied to a high frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily index available since early 2000. We use 1-day-ahead VaR forecasts for various thresholds (10%, 5% and 1%) and apply...

The aim of this text is to analyse the dynamics of European long-rate volatility, as measured at various frequencies (intraday, daily). We identify and quantify the dimension of the diverse components of volatility: long memory and ARCH effects, seasonal effects, news announcements. Among the...