Implied correlation from VaR
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- Karolyi, G Andrew & Stulz, Rene M, 1996.
" Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements,"
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More about this item
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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