This paper demonstrates that aggregate losses are necessarily low as long as we remain under the standard assumptions of LDA models. Moreover empirical findings show that the correlation between two aggregate losses is typically below 5%, which opens a wide scope for large diversification...

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. To deal with this problem the time series have to be either homogenized through interpolation, or methods that can handle raw non-synchronous time...

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. There are two ways to deal with this problem. The time series can be homogenised through an interpolation method (An Introduction to High-Frequency...