Showing 71 - 80 of 47,946
Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...
Persistent link: https://www.econbiz.de/10010191900
Persistent link: https://www.econbiz.de/10009634272
Persistent link: https://www.econbiz.de/10013263124
Persistent link: https://www.econbiz.de/10012415101
Persistent link: https://www.econbiz.de/10012418364
Persistent link: https://www.econbiz.de/10012321946
Persistent link: https://www.econbiz.de/10012388077
Persistent link: https://www.econbiz.de/10012311843
Persistent link: https://www.econbiz.de/10012262488
Persistent link: https://www.econbiz.de/10012269157