Boyer, Brian H.; Gibson, Michael S.; Loretan, Mico - Federal Reserve Board (Board of Governors of the … - 1997
"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely … during "stressful" market situations. ; We show that such worries may not be justified since "correlation breakdowns" can … easily be generated by data whose distribution is stationary and, in particular, whose correlation coefficient is constant …