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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| Format: | Working Paper |
| Language: | English |
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World Bank, Washington, DC
2019
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| 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 |