The role of correlation dynamics in sector allocation

Admati, 1988, A theory of intraday patterns: volume and price variability, Review of Financial Studies, 1, 3, 10.1093/rfs/1.1.3 Ang, 2002, International asset allocation with regime shifts, Review of Financial Studies, 15, 1137, 10.1093/rfs/15.4.1137 Baca, 2000, The rise of sector effects in major equity markets, Financial Analysts Journal, 34, 10.2469/faj.v56.n5.2388 Baele, 2005, Volatility spillover effects in European equity markets, Journal of Financial and Quantitative Analysis, 40, 373, 10.1017/S0022109000002350 Bekaert, 2005, Market integration and contagion, Journal of Business, 78, 39, 10.1086/426519 Billio, 2003, Volatility and shocks spillover before and after EMU in European stock markets, Journal of Multinational Financial Management, 13, 323, 10.1016/S1042-444X(03)00014-8 Bollerslev, 1990, Modeling the coherence in short-run nominal exchange rate: a multivariate generalized ARCH approach, Review of Economics and Statistic, 72, 498, 10.2307/2109358 Bollerslev, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariance, Econometric Reviews, 11, 143, 10.1080/07474939208800229 Cappiello, 2006, Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics, 4, 537, 10.1093/jjfinec/nbl005 Clark, 2001, Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics, 105, 85, 10.1016/S0304-4076(01)00071-9 DeMiguel, 2009, Optimal versus Naïve diversification: how inefficient is the 1/N portfolio strategy, Review of Financial Studies, 22, 1915, 10.1093/rfs/hhm075 De Pooter, 2008, Predicting the daily covariance matrix for S&P 100 stocks using intraday data – but which frequency to use?, Econometric Reviews, 27, 199, 10.1080/07474930701873333 Della Corte, 2009, An economic evaluation of empirical exchange rate models, Review of Financial Studies, 22, 3491, 10.1093/rfs/hhn058 Engle, 2002, Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics, 20, 339, 10.1198/073500102288618487 Engle, 2006, Testing and valuing dynamic correlations for asset allocation, Journal of Business and Economic Statistics, 24, 238, 10.1198/073500106000000017 Engle, R., Sheppard, K., 2001. Theoretical and empirical properties of dynamic conditional correlation MVGARCH, Working paper No. 2001-15, University of California, San Diego. Fama, 2002, The equity premium, Journal of Finance, 57, 637, 10.1111/1540-6261.00437 Fleming, 2001, The economic value of volatility timing, Journal of Finance, 56, 329, 10.1111/0022-1082.00327 Fleming, 2003, The economic value of volatility timing using “realized” volatility, Journal of Financial Economics, 67, 473, 10.1016/S0304-405X(02)00259-3 González-Hermosillo, B., 2008. Investor risk appetite and global financial market conditions, Working Paper No. WP/08/85, International Monetary Fund. Han, 2006, Asset allocation with a high dimensional latent factor stochastic volatility model, Review of Financial Studies, 19, 237, 10.1093/rfs/hhj002 Jares, 2004, Japan and Hong Kong exchange-traded funds (ETFs): discounts, returns, and trading strategies, Journal of Financial Services Research, 25, 57, 10.1023/B:FINA.0000008665.55707.ab Kirby, 2012, It’s all in the timing: simple active portfolio strategies that outperform naïve diversification, Journal of Financial and Quantitative Analysis, 47, 437, 10.1017/S0022109012000117 Longin, 2001, Extreme correlation of international equity markets, Journal of Finance, 56, 649, 10.1111/0022-1082.00340 McInish, 1992, An analysis of intraday patterns in bid/ask spreads for NYSE stocks, Journal of Finance, 47, 753, 10.1111/j.1540-6261.1992.tb04408.x Opdyke, 2007, Comparing sharpe ratio: so where are the P-values, Journal of Asset Management, 8, 308, 10.1057/palgrave.jam.2250084 Phylaktis, 2009, Equity market comovement and contagion: a sectoral perspective, Financial Management, 38, 381, 10.1111/j.1755-053X.2009.01040.x Rouwenhorst, 1998, International momentum strategies, Journal of Finance, 53, 267, 10.1111/0022-1082.95722 Sheppard, K., 2002. Understanding the dynamics of equity covariance, Working Paper, University of California, San Diego.