Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets
Journal of International Financial Markets, Institutions and Money, 2012Abstract We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European Monetary Union bond markets, namely the Netherlands, Germany, Italy, Spain, Portugal and France. We use a framework that contains two procedures, a spillover regime/switching model and a time-varying copula model.
Dionisis Th. Philippas +1 more
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Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis [PDF]
, 2011 We evaluate alternative multivariate models of dynamic correlations in terms of realized out-of-sample Sharpe ratios for an active portfolio manager who rebalances a portfolio of international equities on a daily basis. The evaluation period covers the recent financial crisis which was marked by increased volatility and correlations across ...
Luis García-Álvarez, Richard Luger
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Conditional dependence in post-crisis markets: dispersion and correlation skew trades
Review of Quantitative Finance and Accounting, 2019Strengthening of asset return dependence during the 2007–2008 credit crisis highlighted its dynamic and conditional nature. Option prices reflect the market assessment of how dependence between assets varies with price movements and time horizons, yielding the implied correlation surface.
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The correlation between stress and economic crisis models of economic diplomacy
International Journal of Diplomacy and EconomyAnjali Kulkarni +4 more
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Correlation between blood eosinophilia and rejection crisis in renal transplants.
Transplantation proceedings, 1990L E, Ianhez +4 more
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Decision Making Process And Crisis Management As Correlates Of Teachers Performance
International Journal of Research Publication and ReviewsGlaiza T. Raya +4 more
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[Correlation between rejection crisis and renal allotransplantations and histocompatibility].
Langenbecks Archiv fur Chirurgie, 1970openaire +1 more source
From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM
2008openaire +1 more source
Managing portfolio risk during crisis times: A dynamic conditional correlation perspective
The Quarterly Review of Economics and FinanceHanyu Zhang, Alfonso Dufour
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[Correlation between asthmatic crisis and fungi in the atmosphere in Seville].
Acta allergologica, 2003openaire +1 more source