correlation. …

conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …

distribution theory has its shortfalls with respect to this aim. That is why this paper pro-vides a different approach. …

correlation risk premium. This premium, which covaries negatively with current realized correlations and positively with future … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …

analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we … particular, we suggest estimators for the correlation parameter of the Gaussian copula that can be used for general credit …