The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market

Sakamaki Satoshi
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Sakamaki Satoshi: Chief Manager, Asset Management Division, Mitsubishi UFJ Trust and Banking Corporation

Public Policy Review, 2013, vol. 9, issue 3, 531-552

Keywords: volatility effects; downside risks; upside risks; average individual securities variance; average correlation coefficient; volatility decomposition (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2013
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