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Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities
2018
Journal of Economics and Behavioral Studies
The time-variation in asset correlations have broad implications in asset pricing, portfolio management and hedging. Numerous studies in the literature have found that the change in correlations is mainly related to the magnitude of market movements, hence volatility. However, recent research finds that the size of markets fluctuations is not necessarily the primary driver for the time-variation in correlations, but that the effect of market movements is amplified in times of high financial
doi:10.22610/jebs.v10i2(j).2221
fatcat:aermjnyorbc6ppssje2kow6qmi