correlation. …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

small depending on the shape of the copula of child and parent incomes. Second, we derive a general asymptotic theory for … asymptotic theory to other regressions involving ranks that have been used in empirical work. Finally, we apply our new inference …

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …

estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation …

conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …

contagion only occurs if the correlation between the portfolios of banks is high enough. Without deposit insurance contagious …. Optimal deposit insurance eliminates this incentive and thus the correlation of portfolios and with it the probability of …