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- 저자 : Taisei Kaizoji (검색결과 3 건)
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Realized FX Volatility : Statistical Properties and Applications
엄철준,박종원,Taisei Kaizoji,Enrico Scalas 한국파생상품학회 2018 선물연구 Vol.26 No.1
This paper empirically examines the statistical properties of realized volatility and the relationships between volatility and correlation measurements of realized volatility by using intraday high-frequency foreign exchange (FX) rates. Results regarding the distributional and dynamic properties of realized volatility are in agreement with the findings of previous studies. However, the positive correlation present in previous studies is not found in the case of JPY. On trading days with low volatility in the FX market, realized correlation coefficients between JPY and other currencies have positive values, while realized correlation coefficients on trading days with high volatility show negative values. These results are due to the Japanese government's intervention in the FX market, particularly during trading days with high volatility. In this regard, our results suggest that the positive relationships between volatility and correlations verified in previous studies are not a general phenomenon in the case of government intervention and government intervention may distort the efficiency of the FX market. In addition, we show that the multivariate measurement of realized volatility based on intraday high-frequency data can be a useful tool for determining the occurrence of external intervention in the FX market.
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Effective Portfolio Optimization Based on Random Matrix Theory
Cheoljun Eom,Woo-Sung Jung,Taisei Kaizoji,Yong H. Kim,Jongwon Park 한국재무학회 2009 한국재무학회 학술대회 Vol.2009 No.05
In this study, we investigate empirically whether the control of the correlation matrix via the random matrix theory (RMT) method can create a more efficient portfolio than the traditional Markowitz's model. The reasons for this improvement are also investigated. From the viewpoints of both the degree of efficiency and diversification, we find that the portfolio from the correlation matrix without the properties of the largest eigenvalue via the RMT method is more efficient than the one created from the conventional Markowitz’s model. Furthermore, we empirically confirm that the properties of the largest eigenvalue cause an increase in the value of the correlation matrix and a decrease in the degree of diversification, thus ultimately increasing the degree of portfolio risk. These results suggest that the properties of a market factor are negatively related to the degree of efficiency obtainable through the Markowitz's portfolio model. In addition, on the basis of the ex-ante test (using the expected stock returns and risk of the past period as well as actual data in the future period) we find that the performance of the observed RMT-based efficient portfolio is superior to that of the portfolio from Markowitz's model. These results demonstrate that the improvement of Markowitz's portfolio model via the control of the correlation matrix can be a source of significant practical utility.
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( Jong Won Park ),( Yong H. Kim ),( Cheoljun Eom ),( Taisei Kaizoji ) 한국금융공학회 2009 한국금융공학회 학술발표회 Vol.2009 No.1
It has been suggested in previous studies that the correlation matrices created by controlling various properties included in the original correlation matrix can enhance the practical utility of the Markowitz mean-variance (MV) model. Thus, in this study we have empirically assessed whether using a controlled correlation matrix from which market factor properties in the original correlation matrix were removed could help to improve the practical utility of the MV model from two perspectives (portfolio risk reduction and diversification), according to the changes in the number of stocks in a portfolio. We found that the portfolio created from the controlled correlation matrix without the specified original market factor properties had lower risks than the portfolio from the original correlation matrix at identical given portfolio returns. We also determined that the risk reduction in the portfolio from the controlled correlation matrix was achieved via a high level of diversification of the stocks in the portfolio. The results were consistent regardless of the number of stocks in the portfolio. Accordingly, our findings showed that the use of a controlled correlation matrix with specifically removed market factor properties could actually improve the practical utility of the conventional MV model.
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