Implied basket correlation dynamics (Q308412)
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scientific article; zbMATH DE number 6623674
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Implied basket correlation dynamics |
scientific article; zbMATH DE number 6623674 |
Statements
Implied basket correlation dynamics (English)
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6 September 2016
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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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0.8137491
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0.8023425
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0.78999513
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0.7833061
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0.7819885
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0.7814057
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0.78028077
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0.7799528
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