Showing 1 - 10 of 36
Persistent link: https://www.econbiz.de/10003861678
Persistent link: https://www.econbiz.de/10012105686
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/10010393953
Persistent link: https://www.econbiz.de/10001500108
Persistent link: https://www.econbiz.de/10000984424
Persistent link: https://www.econbiz.de/10000984425
Persistent link: https://www.econbiz.de/10000985609
Persistent link: https://www.econbiz.de/10001156115
Persistent link: https://www.econbiz.de/10001543516