Documents & Reports

A New Tail-Based Correlation Measure and Its Application in Global Equity Markets (English)

Abstract

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the existing value...  See More +

Details

  • Liu, Jinjing;
  • 2019/01/17 14:32:05
  • Policy Research Working Paper;
  • WPS8709
  • 1
  • 1
  • World
  • The World Region
  • 2019/01/17 14:29:36
  • Disclosed
  • A New Tail-Based Correlation Measure and Its Application in Global Equity Markets
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