Add to ORKGThis paper describes the process of ML-estimating of the equity correlations which can be used as proxies for asset correlations. In a Gaussian framework the ML-estimators are given in closed form. On this basis the impact of the Lehman’s collapse on the dynamics of correlations is investigated: after the Lehman failure in September 2008 the rise in correlations took place across all economic sectors
This paper presents a new approach for estimating default correlation among firms. This approach ove...
This paper compares three approaches to estimating equity covariance matrices: a factor model, a ma...
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2008.Includes bibliograp...
This paper describes the process of ML-estimating of the equity correlations which can be used as pr...
Most of the methods used by financial institutions to implement valueat- risk models are based on th...
The world is still recovering from the financial crisis peaking in September 2008. The triggering ev...
This paper seeks to explain time-varying correlations among equity returns. The literature has shown...
Title: Correlated VaR: computation, estimation and regulation The recent financial crisis enhanced ...
The main purpose of this thesis is to investigate whether the correlations between stocks are stable...
Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongo...
To implement mean variance analysis one needs a technique for forecasting correlation coefficients. ...
This paper investigates the impact of the Kolmogorov-Sinai entropy on both the accuracy of probabili...
Erster Band von "Modelling correlations in credit portfolio". Zweiter Band 2007 erschienen.The risk ...
We use the asymptotic single risk factor model, which is a portfolio invariant model and preferred b...
Many quantitative analyses try to estimate an effect, which is measured by aggregating the underlyin...
This paper presents a new approach for estimating default correlation among firms. This approach ove...
This paper compares three approaches to estimating equity covariance matrices: a factor model, a ma...
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2008.Includes bibliograp...
This paper describes the process of ML-estimating of the equity correlations which can be used as pr...
Most of the methods used by financial institutions to implement valueat- risk models are based on th...
The world is still recovering from the financial crisis peaking in September 2008. The triggering ev...
This paper seeks to explain time-varying correlations among equity returns. The literature has shown...
Title: Correlated VaR: computation, estimation and regulation The recent financial crisis enhanced ...
The main purpose of this thesis is to investigate whether the correlations between stocks are stable...
Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongo...
To implement mean variance analysis one needs a technique for forecasting correlation coefficients. ...
This paper investigates the impact of the Kolmogorov-Sinai entropy on both the accuracy of probabili...
Erster Band von "Modelling correlations in credit portfolio". Zweiter Band 2007 erschienen.The risk ...
We use the asymptotic single risk factor model, which is a portfolio invariant model and preferred b...
Many quantitative analyses try to estimate an effect, which is measured by aggregating the underlyin...
This paper presents a new approach for estimating default correlation among firms. This approach ove...
This paper compares three approaches to estimating equity covariance matrices: a factor model, a ma...
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2008.Includes bibliograp...