International Finance Discussion Papers: Evaluating Correlation Breakdowns During Periods of Market Volatility by Mico Loretan, William B. English

International Finance Discussion Papers: Evaluating Correlation Breakdowns During Periods of Market Volatility

Mico Loretan, William B. English

36 pages missing pub info (editions)

nonfiction politics
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Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially hi...

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