Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?
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- Butler, K. C. & Joaquin, D. C., 2002. "Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets," Journal of International Money and Finance, Elsevier, vol. 21(7), pages 981-1011, December.
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- Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007.
"Selecting copulas for risk management,"
Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
- Koedijk, Kees & Verbeek, Marno & Kole, Erik, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers.
- Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2003. "Stress Testing with Student's t Dependence," ERIM Report Series Research in Management ERS-2003-056-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
- Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
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More about this item
Keywords
Conditional correlation; Truncated correlation; Bivariate Student-t correlation.;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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