Estimation of inter-sector asset correlations

Christian Meyer

Papers from arXiv.org

Abstract: Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of cross-sectional dimension and time dimension.

Date: 2021-11
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2111.15204

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