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Correlation Under Stress In Normal Variance Mixture Models

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  • Michael Kalkbrener
  • Natalie Packham

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  • Michael Kalkbrener & Natalie Packham, 2015. "Correlation Under Stress In Normal Variance Mixture Models," Mathematical Finance, Wiley Blackwell, vol. 25(2), pages 426-456, April.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:2:p:426-456
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-2
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    Cited by:

    1. Jeonggyu Huh, 2018. "Measuring Systematic Risk with Neural Network Factor Model," Papers 1809.04925, arXiv.org.
    2. Ansari, Jonathan & Shushi, Tomer & Vanduffel, Steven, 2024. "Up- and down-correlations in normal variance mixture models," Statistics & Probability Letters, Elsevier, vol. 205(C).
    3. Maugis, Pierre-André G., 2019. "Correlation extrapolated," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 89-95.
    4. Huh, Jeonggyu, 2020. "Measuring systematic risk with neural network factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    5. Nils Bertschinger & Axel A. Araneda, 2021. "Cross-ownership as a structural explanation for rising correlations in crisis times," Papers 2112.04824, arXiv.org.

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