Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?
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More about this item
KeywordsConditional correlation; Truncated correlation; Bivariate Student-t correlation.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-30 (All new papers)
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