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International Finance Discussion Papers: Evaluating Correlation Breakdowns During Periods of Market Volatility by Mico Loretan, William B. English, United States Federal Reserve Board - Paperback
76.65 درهم

International Finance Discussion Papers: Evaluating Correlation Breakdowns During Periods of Market Volatility by Mico Loretan, William B. English, United States Federal Reserve Board - Paperback

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76.65 درهم 

  - ستوفر -76.66 درهم
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رقم ال ISBN
9781288732418
الفئات
سياسة
الكاتب
Mico Loretan, William B. English, United States Federal Reserve Board
الناشر
Bibliogov
الوصف:

Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such differences in correlations have been attributed either to structural breaks ...

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حالة السلعة:
جديدة
البائع:
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معلومات المنتج

  •  

    المواصفات

    رقم ال ISBN
    9781288732418
    الفئات
    سياسة
    الرقم المميز للسلعة
    2724354500822
    المؤلفين
    الكاتب
    Mico Loretan, William B. English, United States Federal Reserve Board
    المؤلفين
    الناشر
    Bibliogov
    رقم ال ISBN
    9781288732418
    الفئات
    سياسة
    الرقم المميز للسلعة
    2724354500822
    المؤلفين
    الكاتب
    Mico Loretan, William B. English, United States Federal Reserve Board
    المؤلفين
    الناشر
    Bibliogov
    معلومات تقنية
    غلاف الكتاب
    غلاف عادي
    اللغات والبلدان
    لغة الكتاب
    الانجليزية
    إقرأ المزيد
  •  

    الوصف:

    Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or

    Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such differences in correlations have been attributed either to structural breaks in the underlying distribution of returns or to "contagion" across markets that occurs only during periods of market turbulence. However, we argue that the differences may reflect nothing more than time-varying sampling volatility. As noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally accompanied by an increase in sampling correlations even when the true correlations are constant. We show that this result is not just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset returns, we find that the theoretical relationship can explain much of the movement in correlations over time. We then examine the implications of this link between measures of volatility and correlation for risk management, bank supervision, and monetary policy making.

    خصائص المنتج:
    • الفئات: سياسة
    • غلاف الكتاب: غلاف عادي
    • لغة الكتاب: الانجليزية
    • الكاتب: Mico Loretan, William B. English, United States Federal Reserve Board
    • الناشر: Bibliogov
    • رقم ال ISBN: 9781288732418
    • عدد الصفحات: 36
    • لأبعاد (الارتفاع*العرض*العمق): 9.69 x 7.44 x 0.07 inches
 

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