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  • Search: subject:"Truncated correlation"
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Year of publication
Subject
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Bivariate Student-t correlation 1 Conditional correlation 1 Truncated correlation 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Campbell, Rachel 1 Forbes, Catherine S. 1 Koedijk, Kees 1 Kofman, Paul 1
Institution
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Department of Econometrics and Business Statistics, Monash Business School 1
Published in...
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Monash Econometrics and Business Statistics Working Papers 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?
Campbell, Rachel; Forbes, Catherine S.; Koedijk, Kees; … - Department of Econometrics and Business Statistics, … - 2003
A perceived increase in correlation during turbulent market conditions implies a reduction in the benefits arising from portfolio diversification. Unfortunately, it is exactly then that these benefits are most needed. To determine whether diversification truly breaks down, we investigate the...
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