Støve, Bård; Tjøstheim, Dag; Hufthammer, Karl Ove - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2010
return distribution by a family of Gaussian bivariate distributions. At each point of the return distribution there is a … Gaussian distribution that gives a good approximation at that point. The correlation of the approximating Gaussian distribution … is taken as the local correlation in that neighbourhood. By examining the local Gaussian correlation before the shock (in …