Forecasting and Managing Correlation Risks

The authors thank the Editor (Kay Giesecke) and two anonymous referees for their constructive comments and suggestions. The authors also thank Daniele Bianchi (discussant), Charles Clarke (discussant), Nicola Fusari (discussant), Clifton Green, Amit Goyal, Hao Jiang, Yuan Liao, Markus Pelger, Dave Rapach (discussant), Junbo Wang (discussant), Peixuan Yuan, and Guofu Zhou, along with participants at the NBER Big Data and High-Performance Computing for Financial Economics Conference, the Western Finance Association Annual Meeting, the China International Conference in Finance Annual Meeting, the Shanghai Forum by Fudan University, the Australasian Finance and Banking Conference, the Machine Learning and Financial Econometrics Workshop at Oxford-Man Institute, the American Finance Association Annual Meeting, the Midwest Finance Association Annual Meeting, the Citi Quantitative Research Conference, the European Finance Association Annual Meeting, the NBER-NSF Time Series Conference, and seminar participants at Durham University, Rutgers Business School, Renmin University, the Virtual Derivatives Workshop, the University of Rhode Island, Shanghai University of Finance and Economics- Dishui Lake Advanced Finance Institute, Q Group Spring Seminar, and Goldman Sachs for their many helpful comments and suggestions. The authors are also grateful to the Q Group for awarding the paper the 2023 Jack Treynor Prize.