volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

in a standard framework in which uninformed traders with hedging needs interact with risk-averse informed traders in … hedging and speculative demands: risk-averse arbitrageurs can hedge in the new market to lower the risk of speculative … traders with pure hedging motives in that market to withdraw, so reducing liquidity in the old market. The general point …

a fund’s portfolio through additional leverage and hedging. First-best spending should be a share of total wealth, and … any unhedged volatility must be managed by precautionary savings. If oil prices are pro-cyclical, oil should be extracted …