The impact of large changes in asset prices on intra-market correlations in the domestic and international markets

Financial Review

Volumn 44, Issue 3, 2009, Pages 405-436

  Ronn, Ehud I ^a   Sayrak, Akin ^b   Tompaidis, Stathis ^a  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b SABANCI UNIVERSITY   (Turkey)

Author keywords

Conditional correlation; Roll s R2; Value at risk

Indexed keywords

EID: 70350250641     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.2009.00223.x     Document Type: Article

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