. Estimation results employing a bias-corrected quasi-maximum likelihood approach provide strong indication that the cross … strong dependence, respectively. The factor exhibits a robust negative correlation with market measures of aggregate risk …

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure … focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the … existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

For decades, manufacturers around the world have outsourced production to countries with lower labor costs. However …