Härdle, Wolfgang Karl; Nasekin, Sergey; Chuen, David … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
position. Correlation alone is not informative on the distributional details of the assets. By introducing TEDAS -Tail Event … Driven ASset allocation, one studies the dependence between assets at different quantiles. In a hedging exercise, TEDAS uses …