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The pricing of correlated default risk : evidence from the credit derivatives market

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asset return correlations are too low to account for the spreads of index tranches and, thus, point to a large correlation … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …

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Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks

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A portfolio optimization approach with a large number of assets : applications to the US and Korean stock markets

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Tail dependence of major US stocks

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Tail dependence in international real estate securities markets

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Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Smith, Michael S. - 2015

. The copula parameter matrix is given by the correlation matrix of a latent stationary and Markov vector autoregression …

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Modelling oil price and exchange rate co-movements

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The dependence structure of macroeconomic variables in the US

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