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

Resumo

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...  Exibir mais +

Detalhes

  • Liu, Jinjing;
  • 2019/01/17 14:32:05
  • Documento de trabalho sobre pesquisa de políticas;
  • WPS8709
  • 1
  • 1
  • Mundo
  • Região do Mundo
  • 2019/01/17 14:29:36
  • Disclosed
  • A New Tail-Based Correlation Measure and Its Application in Global Equity Markets
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