Asymmetric correlations of equity portfolios

Journal of Financial Economics

Volumn 63, Issue 3, 2002, Pages 443-494

  Ang, Andrew ^a   Chen, Joseph ^b  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Correlation; Dispersion; GARCH; Jump model; Model bias; Regime switching; Stock return asymmetries

Indexed keywords

EID: 0036221468     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(02)00068-5     Document Type: Article

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