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 …

transactions take place. The authors find that globalization via the diversification channel expanded throughout the world during …

relevant for emerging markets as they integrate financially with the rest of the world. This paper argues that, because of the …

economic management in the developed world and the economic models that guide it. The crisis has revealed major market failures … should largely reinforce the Post-Washington Consensus on development that has emerged over the past decade -- a world view …

relevant for emerging markets as they integrate financially with the rest of the world. This paper argues that, because of the …

. Nonfinancial corporate debt was mainly issued through bond markets, and its growth can be largely attributed to accommodative …

multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time …