pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more …

multivariate corrected dynamic conditional correlation fractionally integrated asymmetric power ARCH (c-DCC-FIAPARCH) process … five groups of countries based on the shape of the dynamic conditional correlation, which indicates that the relationship …

, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß …

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been … much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their … stock-bond correlations have, by and large, been negative, matching the US experience. Negative stock-bond correlation …

Many studies have found that large negative returns tend to occur together. This paper develops a correlation measure … focusing on tails using the expected shortfall, referred to as the expected shortfall-implied correlation. The new correlation … measure provides closer estimates to the true correlation than does the existing value at risk-implied correlation measure in …