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floober | 3 years ago

> And yes, in finance, the correlations between asset classes shoot up toward 1 in periods of crisis (black swan event) . Hence, the research for tail-hedging strategies...

Related to what you said here, I was surprised there wasn't a comparison with Vine Copulas in the paper or thread! But this is pretty far outside of my realm of expertise, so maybe it shouldn't be surprising.

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