Results 11 to 20 of about 119,536 (302)
The variance implied conditional correlation [PDF]
The European Journal of Finance, 2019 We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized variables with the variances of linear combinations thereof ...
Andres Algaba +2 more
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Sensitivity-implied tail-correlation matrices
Journal of Banking & Finance, 2022 Abstract Tail-correlation matrices are an important tool for aggregating risk measurements across risk categories, asset classes and/or business segments. This paper demonstrates that traditional tail-correlation matrices—which are conventionally assumed to have ones on the diagonal—can lead to substantial biases of the aggregate risk measurement’s ...
Paulusch, Joachim, Schlütter, Sebastian
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The forecasting ability of correlations implied in foreign exchange options [PDF]
Journal of International Money and Finance, 1998 Abstract This paper evaluates the forecasting accuracy of correlations derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and dollar-yen, implied correlation is compared against three alternative forecasts based on time series ...
Jose M. Campa, P. H. Kevin Chang
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, 2012 In this paper we will analyze the distribution and statistical behavior of implied correlation in the foreign exchange market. Implied correlation is here defined as the co-movement between two currencies as implied by the price of a combination of option contracts.
Fretheim, Torun Sæther +1 more
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Relation of Religious Coping and Depression Levels in Infertile Women
Iranian Journal of Psychiatry, 2020 Objective: Religious coping is known as one of the successful manners to cure depressed infertile women; however, research findings show that demographic factors (e.g., education level) have played an important role on the relationship between depression
Naemeh Honarvar, Mahsa Taghavi
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The Causal Loss: Driving Correlation to Imply Causation
CoRR, 2021 Main paper: 8 pages, References: 2 pages, Appendix: 3 pages. Figures: 4 main, 4 appendix.
Moritz Willig +3 more
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Lietuvos Matematikos Rinkinys, 2007 This article investigatesthe present value of a firm’s asset in the case of n \geq 2 correlateddefaults. The structural approach of credit risk is developed in the case when default boundaries follow geometric Brownian motions.
Mantas Valužis
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On the Probabilities of Correlated Defaults: a First Passage Time Approach
Nonlinear Analysis, 2008 This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes ...
M. Valužis
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Quanto Implied Correlation in a Multi-LLvy Framework [PDF]
SSRN Electronic Journal, 2015 In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with respect to inversion and triangulation, and provides an ...
Ballota, Laura +2 more
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Nursing students' views and satisfaction of their clinical learning environment in Singapore
Nursing Open, 2020 Aims This study aims to investigate final‐year nursing students' actual perception of their clinical learning environment in Singapore. Design Descriptive cross‐sectional survey.
Ming Wei Jeffrey Woo, Wenjie Li
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