Evaluating Correlation Breakdowns During Periods of Market Volatility
نویسندگان
چکیده
منابع مشابه
Evaluating “correlation breakdowns” during periods of market volatility
In order to measure and manage market risks, financial analysts take account of the variability and correlation of the returns on assets held in their portfolios. One difficulty they encounter in doing so is that in periods of heightened market volatility, correlations between asset returns can differ substantially from those seen in quieter markets. The problem of “correlation breakdown” durin...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.231857