The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...

We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized...

We study conditional correlations between pairs of risks in normal variance mixture models, which are widely used in risk management and finance. In particular, we examine up- and down-correlations defined as the conditional correlation between the sum of risks and an individual component,...