So, Mike K.P.; Wong, Jerry; Asai, Manabu - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 310-322
be more reliable in stress testing higher dimension correlation matrices. Information on the performance of the blocking …Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical … testing portfolios, it is important to consider the influence of a sudden surge in selected correlations. Standard correlation …
