[Statlist] Friday, May 20, 2016 with Asger Lunde (Aarhus University), Denmark

[Maurer Letizia]

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ETH and University of Zurich

Organisers:

Proff. P. Bühlmann - L. Held - T. Hothorn - M. Maathuis -
N. Meinshausen - S. van de Geer - M. Wolf
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We are glad to announce the following talk:

Friday, May 20, 2016 at 15.15h  ETH Zurich HG G 19.141
with Asger Lunde (Aarhus University), Denmark
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Title:

Realizing Commodity Correlations<https://www.math.ethz.ch/sfs/news-and-events/research-seminar.html?s=fs16#e_8090>

Abstract:

We propose to use the Realized Beta GARCH model of Hansen et al. (2014) to exploit the potential of using high-frequency data in commodity markets for the modeling of correlations. The model produces accurate forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We eval- uate the attractiveness of this matrix in a portfolio context and compare it to models more commonly used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs. Keywords: Commodities, financialization, futures market. JEL Classification: C53, C58, G12, G13, G15, G17, G32.


This abstract is also to be found under the following link: http://stat.ethz.ch/events/research_seminar

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