Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … dynamic semiparametric factor model (DSFM). -- correlation risk ; dimension reduction ; dispersion strategy ; dynamic factor …

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …

and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …