Correlation Structure and Fat Tails in Finance: a New Mechanism
Correlation Structure and Fat Tails in Finance: a New Mechanism
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management (where extreme losses play a key role). In this paper we present a new model for an ensemble of stocks that aim...
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Correlation Structure and Fat Tails in Finance: a New Mechanism
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TN_cdi_proquest_journals_2090739857
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2090739857
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2331-8422
