Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?
Year of publication: |
2003-11
|
---|---|
Authors: | Campbell, Rachel ; Forbes, Catherine S. ; Koedijk, Kees ; Kofman, Paul |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | Conditional correlation | Truncated correlation | Bivariate Student-t correlation |
-
Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
Princ, Michael, (2010)
-
Relationship between Czech and European developed stock markets: DCC MVGARCH analysis
Princ, Michael, (2010)
-
Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis
Tao, Juan, (2012)
- More ...
-
Increasing correlations or just fat tails?
Campbell, Rachel, (2008)
-
Diversification metldown or the impact of fat tails on conditional correlation?
Campbell, Rachel, (2003)
-
Campbell, Rachel, (2002)
- More ...