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Persistent link: https://www.econbiz.de/10009705699
We show theoretically that lower tail dependence (χ), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate χ for a sample of DJIA stocks and show that it differs...
Persistent link: https://www.econbiz.de/10011065726