calculate the cross-sectional correlation coefficients between the biases and find that all of them are positive and highly … decision-making technique will most likely accept other techniques as well. Furthermore, we determine that the correlation …

correlation trends, and each correlation trend has been broken by at least one of the eight crises. Recent financial crises … drastically. Most correlation trends exhibit positive slopes throughout, and some over the late sample period. Our results …

, a state-dependent diffusion correlation combined with heterogeneity in jump intensities and volatilities can, e …

Global asset allocation provides risk diversification. But international market correlation increases sharply during … global crises and diversification benefit disappears when it is most needed. We model these correlation breaks and derive the … asset allocation implications. The model can quickly detect crises and suggests adapting allocation for changing correlation …

from a modeling perspective but imposes correlation dynamics that are similar to time-varying volatility. In this paper, we … typically observed for the correlation among financial assets is to a large extent a statistical artefact. We provide evidence … that spurious correlation dynamics occur in response to financial events that are sufficiently large to cause a structural …

from a modeling perspective but imposes correlation dynamics that are similar to time-varying volatility. In this paper, we … typically observed for the correlation among financial assets is to a large extent a statistical artefact. We provide evidence … that spurious correlation dynamics occur in response to financial events that are sufficiently large to cause a structural …

In this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state … dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different … separated.We identify distinct “risk-on” and “risk-off” assets with the help of correlation networks. In addition to visualizing …

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To … this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ … this type of uncertainty on realized stock-bond correlation and jumps. Our findings reveal that uncertainty …