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Realized Correlation (realized + correlation)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting75%

Selected Abstracts

Asymmetric genetic correlations between dairy traits

JOURNAL OF ANIMAL BREEDING AND GENETICS, Issue 4 2000
F. Pirchner
Summary Realized genetic correlations between dairy traits were estimated from halfsib response to (a) upward, respectively downward selection and (b) to different selected traits. Data comprised records from 36 870 Bavarian Fleckvieh and from 9434 Angler cows from the years 1977,88 and 1990, respectively. No asymmetry appeared between upward and downward selection. However, in both breeds selection for yield led to stronger negative reaction in fat and protein content than vice versa. Between protein and fat content the realized correlation appears to be symmetric. Zusammenfassung Asymmetrische genetische Korrelationen zwischen Milchleistungseigenschaften Genetische Korrelationen zwischen Milchmenge, Fett und Proteingehalt wurden von diesbezüglichen Veränderungen in Halbschwestern selektierter Kühe nach (a) positiver und negativer Selektion und (b) in Abhängigkeit vom selektierten Merkmal geschätzt. Die Daten stammen von 36 870 Fleckvieh und 9434 Angler Kühen aus den Jahren 1977 bis 1988 bzw. 1990. Zwischen Selektionsrichtung war keine Asymmetrie der realisierten genetischen Korrelationen zu erkennen, wohl aber scheint eine solche in Abhängigkeit des primären Selektionsmerkmals zu existieren. Selektion nach Milchmenge führte zu deutlich stärkerer negativer Reaktion bei Gehalten als umgekehrt Selektion auf Fett-und Eiweißehalt sich auf Menge auswirkte. Zwischen beiden Gehalten ist die Korrelation symmetrisch. [source]

Realized volatility and correlation in energy futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 10 2008
Tao Wang
Using high-frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry-Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non-Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard deviation) and the (logarithms of) realized standard deviations appear approximately Gaussian. The (logarithms of) standard deviations exhibit long-memory, but the realized correlation between the two futures does not, implying rather weak inter-market linkage in the long run. There is evidence of asymmetric volatility for natural gas but not for crude oil futures. Finally, realized crude oil futures volatility responds with an increase in the weeks immediately before the OPEC events recommending price increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:993,1011, 2008 [source]

Implied correlation index: A new measure of diversification

THE JOURNAL OF FUTURES MARKETS, Issue 2 2005
Vasiliki D. Skintzi
Most approaches in forecasting future correlation depend on the use of historical information as their basic information set. Recently, there have been some attempts to use the notion of "implied" correlation as a more accurate measure of future correlation. This study proposes an innovative methodology for backing-out implied correlation measures from index options. This new measure called implied correlation index reflects the market view of the future level of the diversification in the market portfolio represented by the index. The methodology is applied to the Dow Jones Industrial Average index, and the statistical properties and the dynamics of the proposed implied correlation measure are examined. The evidence of this study indicates that the implied correlation index fluctuates substantially over time and displays strong dynamic dependence. Moreover, there is a systematic tendency for the implied correlation index to increase when the market index returns decrease and/or the market volatility increases, indicating limited diversification when it is needed most. Finally, the forecast performance of the implied correlation index is assessed. Although the implied correlation index is a biased forecast of realized correlation, it has a high explanatory power, and it is orthogonal to the information set compared to a historical forecast. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:171,197, 2005 [source]

Realize the Realized Stock Index Volatility

ASIAN ECONOMIC JOURNAL, Issue 1 2004
Ho-Chuan (River) Huang
This paper constructs estimates of daily stock index volatilities and correlation using high-frequency (one-minute) intraday stock indices. The key feature of these ,realized' volatilities and correlations is that they are not only model-free but also approximately measurement-error-free. In fact, they can be treated as observed rather than latent, so that direct modeling and forecasting of the realized volatilities can be performed using conventional time series approaches. Some interesting results appear in the analysis. Despite the fact that the unstandardized returns are skewed to the right and have fatter tails than normal, the distributions of the raw returns scaled by the realized standard deviations appear to be approximately Gaussian. The unconditional distributions of the realized variances and covariances are leptokurtic as well as highly right-skewed, but the realized correlation tends to be approximately normally distributed. There is no evidence in support of asymmetric volatility effects commonly found in previous findings. However, we find strong evidence to support the fact that there exists high contemporaneous correlation between realized volatilities and high comovement between realized correlation and volatilities. [source]