| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3700 |
| DP3700 From Parent to Child; Early Labour Market Experiences of Second-Generation Immigrants in the Netherlands | |
| Jan C. van Ours; Justus Veenman | |
| 发表日期 | 2002-01-28 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | A number of studies have provided evidence of increased correlation in global financial market returns during bear markets. Others, however, have shown that some of this evidence may have been biased. We derive an alternative estimator for implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple and practical approach captures the increasing correlation in extreme market conditions while providing a pragmatic approach to understanding correlation structure in multivariate return distributions. Based on data for international equity markets we find evidence of significant increased correlation in extreme returns in international equity markets. This proves the importance of providing a tail adjusted mean-variance covariance matrix. |
| 主题 | Financial Economics |
| 关键词 | International equity markets Correlation Extreme returns Downside risk |
| URL | https://cepr.org/publications/dp3700 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532211 |
| 推荐引用方式 GB/T 7714 | Jan C. van Ours,Justus Veenman. DP3700 From Parent to Child; Early Labour Market Experiences of Second-Generation Immigrants in the Netherlands. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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