Implied basket correlation dynamics (Q308412)

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Implied basket correlation dynamics
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    Statements

    title
    Implied basket correlation dynamics (English)
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    author
    Wolfgang Karl Härdle
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    Elena Silyakova
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    publication date
    6 September 2016
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    zbMATH Keywords
    correlation risk
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    dimension reduction
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    dispersion strategy
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    dynamic factor models
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    Identifiers

    Mathematics Subject Classification ID
    62P20
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    62H25
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    62H15
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    62H20
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    91G70
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    zbMATH DE Number
    6623674
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    OpenAlex ID
    W3101158158
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    arXiv ID
    2009.09770
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