Increased Correlation in Bear markets: A Downside Risk Perspective
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Keywordscorrelation; downside risk; extreme returns; international equity markets;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-14 (All new papers)
- NEP-CFN-2003-03-14 (Corporate Finance)
- NEP-FMK-2003-03-14 (Financial Markets)
- NEP-RMG-2003-03-14 (Risk Management)
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