volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …