Sancetta, Alessio; Satchell, Steve E. - In: Applied Mathematical Finance 14 (2007) 3, pp. 227-242
The paper considers a linear factor model (LFM) to study the behaviour of the correlation coefficient between various stock returns during a downturn. Changing correlation is related to the tail distribution of the driving factors, which is the market for Sharpe's one-factor model. General...