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 …

This article presents an application of extreme value theory to compute the value at risk of a market position. In … maximum) over a given time-period. Extreme value theory gives some interesting results about the distribution of extreme … extreme value theory is used to compute the VaR of a fully-aggregated position while multivariate extreme value theory is used …

successful Religious-Right alliance with the religious poor and start blocking belief-eroding discoveries and ideas. …

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

correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …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 …

This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …