The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...

In this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were...

In this paper we present a novel and highly flexible method to simulate correlation matrices of financial markets. It produces realistic outcomes regarding stylized facts of empirical correlation matrices and requires no asset return input data. The matrix generation is based on a...

We compute monthly correlation matrices of 25 global futures markets in four asset classes: fixed income, commodities, equities, fx. Comparing and grouping those correlation matrices leads to distinct «regimes» in time. We can characterize these regimes by futures market returns, finding...