Fiche du document
2014
- handle: 10670/1.9v42ka
- hal: hal-01302479
- doi: 10.2139/ssrn.2334180
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.2139/ssrn.2334180
info:eu-repo/semantics/OpenAccess
Mots-clés
Financial Crisis Pre-diction Markov Switching Risk Appetite Cross Market Linkages E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy F - International Economics/F.F3 - International Finance/F.F3.F37 - International Finance Forecasting and Simulation: Models and Applications G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest RatesSujets proches
Probability Statistical inference Public markets Interest and usury Jesus Christ--Cross Cross Competitive examinations TestsCiter ce document
Mathieu Gatumel et al., « Commodity Markets through the business cycle », HAL-SHS : économie et finance, ID : 10.2139/ssrn.2334180
Métriques
Partage / Export
Résumé
We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the cross-sectional average of the individual probabilities for each asset to be in a " risk appetite " regime. Given the probabilistic approach that comes naturally with this Markov Switching framework, we present various tests to gauge the interest of the risk appetite measure that is presented here. Using these tests we show that our index behaves well vs. various competitors, especially in out-of-sample results. We test for the information content of various assets and find that a core of asset allocation-related assets provide the best possible choice over various competing specifications.