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VaR-implied tail-correlation matrices · Study

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ArticleVaR-implied tail-correlation matrices

Stefan Mittnik2013

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Articlegreen2013

VaR-implied tail-correlation matrices

20 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Complex Systems and Time Series Analysis

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References

1999Coherent Measures of Risk 2001Extreme Correlation of International Equity Markets 2004CAViaR 1995Is the correlation in international equity returns constant: 1960–1990?2002International Asset Allocation With Regime Shifts 2002Asymmetric correlations of equity portfolios 2003A New Approach to Measuring Financial Contagion 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements

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Year2013

Typearticle

Published2013-11-04

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2013.10.025

openalex_workW2144994749

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