Risk sharing and counter-cyclical variation in market correlations

DOI10.1016/J.JEDC.2007.11.006MaRDI QIDQ844776zbMATH OpenOpenAlexFDO

Authors A. Cevdet Aydemir

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2007.11.006

zbMATH Keywords

portfolio diversificationinternational financestock correlations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

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Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Asset Prices in an Exchange Economy
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• Volatility and Links between National Stock Markets

Cited in

(2)

• Correlation and coordination risk
• Bond yields and debt supply: new evidence through the lens of a preferred-habitat model

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