Increased correlation in bear markets
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Bibliographic InfoPaper provided by Maastricht University in its series Open Access publications from Maastricht University with number urn:nbn:nl:ui:27-19571.
Date of creation: 2002
Date of revision:
Publication status: Published in Financial analysts journal (2002) v.58, p.87-94
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- Rachel Campbell & Catherine S. Forbes & Kees Koedijk & Paul Kofman, 2003. "Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?," Monash Econometrics and Business Statistics Working Papers 18/03, Monash University, Department of Econometrics and Business Statistics.
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"VaR-x: Fat Tails in Financial Risk Management,"
98-54, Southern California - School of Business Administration.
- Huisman, Ronald & Koedijk, Kees G. & Pownall, Rachel A.J., 2007. "VaR-x: fat tails in financial risk management," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19574, Maastricht University.
- Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic Correlation Across International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt6vn9q79w, Anderson Graduate School of Management, UCLA.
- Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
- Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001.
"Optimal portfolio selection in a Value-at-Risk framework,"
Journal of Banking & Finance,
Elsevier, vol. 25(9), pages 1789-1804, September.
- Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in an value-at-risk framework," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19572, Maastricht University.
- Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 373-388, November.
- Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
- Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
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