Estimation of inter-sector asset correlations

Published 30 Nov 2021 in q-fin.RM, math.PR, and q-fin.CP | (2111.15204v1)

Abstract: Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of cross-sectional dimension and time dimension.

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Christian Meyer

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