Abstract:Asymmetry of Financial Time Series During the Financial Crisis: Asymmetric Volatility Outperforms the Asymmetric Importance of CorrelationWe have tested the stability of parameters loading the asymmetric behaviour of the correlation and the importance of this behavior on the portfolio selection. In this paper, we have analyzed the following time series S&P index, gold and CME 5-Year Treasury Note Futures during the most important crisis from 1992 to 2009. The methodology is based on the dynamic conditional cor… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.