Matches in SemOpenAlex for { <https://semopenalex.org/work/W1880927744> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W1880927744 abstract "Several studies published since the 1987 stock market crash have found evidence of structure and variability in the correlation of international equity market returns. This evidence has undermined the argument for international diversification and has spawned the development of complex multivariate models to explain variance/covariance. In spite of the well-known evidence for structure in volatility, many of these correlation studies fail to adjust for volatility clustering. After rectifying that problem, this study finds that correlation can be assumed constant with some qualifications. After standardising to allow for changing risk, correlations of daily MSCI returns from 1982-1996 are generally stable. In this context, the extreme market movements of 1987 are seen as an aberration. Implications for multivariate risk estimation, asset allocation decisions and international diversification strategies are examined." @default.
- W1880927744 created "2016-06-24" @default.
- W1880927744 creator A5020960678 @default.
- W1880927744 date "1999-01-01" @default.
- W1880927744 modified "2023-09-27" @default.
- W1880927744 title "Is Correlation Constant After All? (A Study of Multivariate Risk Estimation For International Equities)" @default.
- W1880927744 doi "https://doi.org/10.2139/ssrn.159808" @default.
- W1880927744 hasPublicationYear "1999" @default.
- W1880927744 type Work @default.
- W1880927744 sameAs 1880927744 @default.
- W1880927744 citedByCount "0" @default.
- W1880927744 crossrefType "journal-article" @default.
- W1880927744 hasAuthorship W1880927744A5020960678 @default.
- W1880927744 hasConcept C105795698 @default.
- W1880927744 hasConcept C106159729 @default.
- W1880927744 hasConcept C139819358 @default.
- W1880927744 hasConcept C144133560 @default.
- W1880927744 hasConcept C149782125 @default.
- W1880927744 hasConcept C161584116 @default.
- W1880927744 hasConcept C162324750 @default.
- W1880927744 hasConcept C162853370 @default.
- W1880927744 hasConcept C166957645 @default.
- W1880927744 hasConcept C17744445 @default.
- W1880927744 hasConcept C180916674 @default.
- W1880927744 hasConcept C181236170 @default.
- W1880927744 hasConcept C199539241 @default.
- W1880927744 hasConcept C199728807 @default.
- W1880927744 hasConcept C204036174 @default.
- W1880927744 hasConcept C205649164 @default.
- W1880927744 hasConcept C23922673 @default.
- W1880927744 hasConcept C2776142675 @default.
- W1880927744 hasConcept C2779343474 @default.
- W1880927744 hasConcept C2780299701 @default.
- W1880927744 hasConcept C2780821815 @default.
- W1880927744 hasConcept C33923547 @default.
- W1880927744 hasConcept C80212096 @default.
- W1880927744 hasConcept C91602232 @default.
- W1880927744 hasConceptScore W1880927744C105795698 @default.
- W1880927744 hasConceptScore W1880927744C106159729 @default.
- W1880927744 hasConceptScore W1880927744C139819358 @default.
- W1880927744 hasConceptScore W1880927744C144133560 @default.
- W1880927744 hasConceptScore W1880927744C149782125 @default.
- W1880927744 hasConceptScore W1880927744C161584116 @default.
- W1880927744 hasConceptScore W1880927744C162324750 @default.
- W1880927744 hasConceptScore W1880927744C162853370 @default.
- W1880927744 hasConceptScore W1880927744C166957645 @default.
- W1880927744 hasConceptScore W1880927744C17744445 @default.
- W1880927744 hasConceptScore W1880927744C180916674 @default.
- W1880927744 hasConceptScore W1880927744C181236170 @default.
- W1880927744 hasConceptScore W1880927744C199539241 @default.
- W1880927744 hasConceptScore W1880927744C199728807 @default.
- W1880927744 hasConceptScore W1880927744C204036174 @default.
- W1880927744 hasConceptScore W1880927744C205649164 @default.
- W1880927744 hasConceptScore W1880927744C23922673 @default.
- W1880927744 hasConceptScore W1880927744C2776142675 @default.
- W1880927744 hasConceptScore W1880927744C2779343474 @default.
- W1880927744 hasConceptScore W1880927744C2780299701 @default.
- W1880927744 hasConceptScore W1880927744C2780821815 @default.
- W1880927744 hasConceptScore W1880927744C33923547 @default.
- W1880927744 hasConceptScore W1880927744C80212096 @default.
- W1880927744 hasConceptScore W1880927744C91602232 @default.
- W1880927744 hasLocation W18809277441 @default.
- W1880927744 hasOpenAccess W1880927744 @default.
- W1880927744 hasPrimaryLocation W18809277441 @default.
- W1880927744 hasRelatedWork W1814508099 @default.
- W1880927744 hasRelatedWork W1921879899 @default.
- W1880927744 hasRelatedWork W1993066538 @default.
- W1880927744 hasRelatedWork W1997826048 @default.
- W1880927744 hasRelatedWork W2028470504 @default.
- W1880927744 hasRelatedWork W2080406100 @default.
- W1880927744 hasRelatedWork W2082429882 @default.
- W1880927744 hasRelatedWork W2111187892 @default.
- W1880927744 hasRelatedWork W2119343449 @default.
- W1880927744 hasRelatedWork W2243795545 @default.
- W1880927744 hasRelatedWork W2885490338 @default.
- W1880927744 hasRelatedWork W3007733770 @default.
- W1880927744 hasRelatedWork W3023757336 @default.
- W1880927744 hasRelatedWork W3121460413 @default.
- W1880927744 hasRelatedWork W3122188438 @default.
- W1880927744 hasRelatedWork W3122824160 @default.
- W1880927744 hasRelatedWork W3123355694 @default.
- W1880927744 hasRelatedWork W3123860924 @default.
- W1880927744 hasRelatedWork W3124062023 @default.
- W1880927744 hasRelatedWork W3124850448 @default.
- W1880927744 isParatext "false" @default.
- W1880927744 isRetracted "false" @default.
- W1880927744 magId "1880927744" @default.
- W1880927744 workType "article" @default.