Distributional properties of market indicators and the correlations between them.

Aas, Kjersti; Dimakos, Xeni Kristine

September 01, 2001

SAMBA

• Areas: Finance and insurance
• Keywords: Market instruments, t-distribution, worst case correlations, bear markets
• Page(s): 28
• Name and number of project:
• Title: Distributional properties of market indicators and the correlations between them.
• Author(s): Aas, Kjersti; Dimakos, Xeni Kristine
• Report number: SAMBA/12/01
• Published date: September 01, 2001