Correlation Risk, Strings and Asset Prices
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More about this item
Keywords
Correlation premium; Correlation-risk premium; Cross-section of returns; Arbitrage pricing; String models; Implied correlation;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-08-26 (Financial Markets)
- NEP-RMG-2019-08-26 (Risk Management)
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