Search Results - subject:"Correlation complexity"

The Dependence Structure of Macroeconomic Variables in the US

Ning, Cathy Q.; Chollete, Loran - Department of Economics, Ryerson University - 2009

’s dependence structure, indicating correlation complexity in the US economy. Second, GDP exhibits linear dependence with interest …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008549328

International diversification: An extreme value approach

Chollete, Lorán; de la Peña, Victor; Lu, Ching-Chih - In: Journal of Banking & Finance 36 (2012) 3, pp. 871-885

, recent Latin American returns exhibit little downside risk. Second, Latin America exhibits a great deal of correlation … complexity. Third, according to the empirical results, correlation does not vary with returns, but extreme dependence does vary …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011065732

International Diversification: An Extreme Value Approach

Chollete, Loran; de la Pena, Victor; Lu, Ching-Chih - Handelshøgskolen, Universitetet i Stavanger - 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004998792

International Diversification: A Copula Approach

Chollete, Loran; Pena, Victor de la; Lu, Ching-Chih - Handelshøgskolen, Universitetet i Stavanger - 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004998794

The Dependence Structure of Macroeconomic Variables in the US

Chollete, Loran; Ning, Cathy - Handelshøgskolen, Universitetet i Stavanger - 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005042212