Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
From MaRDI portal
Publication:4646507
Recommendations
- VaR in High Dimensional Systems – a Conditional Correlation Approach
- Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
- Measuring large comovements in financial markets
- VaR-implied tail-correlation matrices
- Portfolio Value at Risk Bounds
Cited in
(15)- Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach
- Nonlinear Spectral Analysis: A Local Gaussian Approach
- Dependence of Stock Returns in Bull and Bear Markets
- Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- VaR-implied tail-correlation matrices
- Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
- Equity portfolio diversification with high frequency data
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
- Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
- Local Gaussian correlation: a new measure of dependence
- Statistical dependence: beyond Pearson's \(\rho\)
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
- Measures of risk
- Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
This page was built for publication: Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4646507)
