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- W645057331 abstract "One of the inputs required by investors, seeking to hold efficient portfolios, is the correlation between the securities to be included in the portfolio. Correlation estimates are required in most applications in finance including asset pricing models, capital allocation, risk management and option pricing and hedging. This paper presents an overview of my PhD thesis that focused on developing and investigating innovative methods for estimating and forecasting correlation between financial asset returns. Firstly, the importance of correlation estimation in financial applications is examined focusing on a risk management application. Secondly, a traditional financial economics problem regarding the international financial market linkages is addressed based on a dynamic correlation structure. An application to the European bond markets volatility transmission mechanism is provided. Thirdly, an innovative methodology for forecasting correlation using the market prices of derivative instruments is developed." @default.
- W645057331 created "2016-06-24" @default.
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- W645057331 date "2014-01-13" @default.
- W645057331 modified "2023-09-24" @default.
- W645057331 title "Dynamic correlation models" @default.
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- W645057331 doi "https://doi.org/10.12681/eadd/17695" @default.
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