Corazza, Marco; Malliaris, A.G.; Scalco, Elisa - Dipartimento di Matematica Applicata, Università Ca' … - 2006
Comovements among asset prices have received a lot of attention for several reasons. For example, comovements are important in cross-hedging and cross-speculation; they determine capital allocation both domestically and in international meanÐvariance portfolios and also, they are useful in...