Showing 1 - 10 of 40,681
Persistent link: https://www.econbiz.de/10013415547
Persistent link: https://www.econbiz.de/10012672289
Persistent link: https://www.econbiz.de/10012216155
Persistent link: https://www.econbiz.de/10014390390
Persistent link: https://www.econbiz.de/10014440069
Persistent link: https://www.econbiz.de/10010233171
Persistent link: https://www.econbiz.de/10009760610
Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...
Persistent link: https://www.econbiz.de/10010191900
Persistent link: https://www.econbiz.de/10010200844
Persistent link: https://www.econbiz.de/10009724683