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A New Tail-Based Correlation Measure and Its Application in Global Equity Markets

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the existing...

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Bibliographic Details
Main Author: Liu, Jinjing
Language:English
Published: World Bank, Washington, DC 2019
Subjects:
CORRELATION ASYMMETRIES
TAIL DEPENDENCE
HEAVY-TAILED DISTRIBUTIONS
VALUE AT RISK
EQUITY MARKET
Online Access:http://documents.worldbank.org/curated/en/641081547753593928/A-New-Tail-Based-Correlation-Measure-and-Its-Application-in-Global-Equity-Markets
http://hdl.handle.net/10986/31177

Internet

http://documents.worldbank.org/curated/en/641081547753593928/A-New-Tail-Based-Correlation-Measure-and-Its-Application-in-Global-Equity-Markets
http://hdl.handle.net/10986/31177

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