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Brown, Ann; Rich, Martin; Holtham, Clive - In: Journal of Management Development 33 (2014) 6, pp. 603-619

of students taking the module using mainly correlation techniques. Findings – The module design did achieve to a great …

Persistent link: https://www.econbiz.de/10014883982

The tale of the tail: extreme‐value patterns of financial returns

Corelli, Angelo - In: The Journal of Risk Finance 13 (2012) 5, pp. 507-516

Purpose – The purpose of this paper is to give a review of the standard approaches to extreme value theory. Special focus on the tail of the distribution is underlined, in particular concerning the fat‐tails phenomenon typical of financial returns. The core of the work is then represented by...

Persistent link: https://www.econbiz.de/10014901622

Information transmission and countervailing biases in organizations

Chiba, Saori - In: Games 15 (2024) 23, pp. 1-25

. Our findings reveal that project correlation leads to these biases countervailing each other, facilitating the …, our study suggests limited benefits in the context of project correlation. …

Persistent link: https://www.econbiz.de/10014636248

What's the ticker symbol for farmland?

Sherrick, Bruce J.; Mallory, Mindy L.; Hopper, Timothy - In: Agricultural Finance Review 73 (2013) 1, pp. 6-31

Purpose – Relatively high recent returns to farmland investments have led to substantially elevated interest in farmland investments. Absent, however, is a well‐functioning equity market in farmland real estate, or well‐developed indexes of farmland returns that might contribute to the...

Persistent link: https://www.econbiz.de/10014667163

The use of copulas in explaining crop yield dependence structures for use in geographic diversification

Larsen, Ryan; W. Mjelde, James; Klinefelter, Danny; … - In: Agricultural Finance Review 73 (2013) 3, pp. 469-492

using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to …'s tau are compared to Pearson's linear correlation, a more typical measure of dependence. Using this information, functions … consistently less than the linear correlation elasticities for wheat and cotton. For sorghum, however, the copula …

Persistent link: https://www.econbiz.de/10014667333

Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach

Rincón, Carlos Eduardo Léon; Leiton, Karen Juliet; … - BANCO DE LA REPÚBLICA - 2013

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped … noise in correlation matrices by extracting the dominant hierarchy (i.e. the strongest linear-dependence signals) within … structural shift caused by the failure of Lehman Brothers. Thus, based on two different correlation-into-distance mapping …

Persistent link: https://www.econbiz.de/10010763696

Resource development conflict: a quantitative approach

Lytle, Murray; Hitch, Michael - In: Annals in Social Responsibility 3 (2017) 1, pp. 42-55

a correlation between their responses to a series of worldview questions and their acceptance of resource development …. Not surprisingly, the correlation becomes stronger as the homogeneity of the respondent group increases. The results of … to the survey, there is a correlation between their responses to a series of worldview questions and their acceptance of …

Persistent link: https://www.econbiz.de/10014677447

The price of correlation risk: evidence from Chinese stock market

Deng, Yiwen; Liu, Chen; Zheng, Zhenlong - In: China Finance Review International 4 (2014) 4, pp. 343-359

Purpose – The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the … market correlation affects stock returns. Design/methodology/approach – The authors first examine the relationship between … the market correlation and the market return. Then, the authors run formal multiple regressions to see whether correlation …

Persistent link: https://www.econbiz.de/10014694500

Extreme return correlation and volatility: a two‐threshold approach

Sankaran, Harikumar; Nguyen, Anh; Harikumar, Jayashree - In: American Journal of Business 27 (2012) 2, pp. 154-173

Purpose – The purpose of this paper is to examine the relation between extreme return correlation and return volatility … of the relation between correlation and volatility is then based on the extent of overlapping extreme return clusters … across DJIA, S&P 500 and NASDAQ composite. Findings – It is found that the correlation positive extreme returns within …

Persistent link: https://www.econbiz.de/10014668311

Hedge fund return volatility and comovement: recent evidence

Sabbaghi, Omid - In: Managerial Finance 38 (2011) 1, pp. 101-119

comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the …

Persistent link: https://www.econbiz.de/10014940218