Asymmetric dependencies on the financial markets
Overview
Numerous studies have confirmed that correlations in financial markets are stronger during a crisis than during calm times. Copulas, among others, have been proposed to model such effects because classical correlation coefficients are not able to reflect this asymmetry.
Contact
Ordinarius (Full Professor)
Faculty of Business and Economics
- Phone: +49 821 598 - 4152
- Email: yarema.okhrin@uni-auni-a.de ()
- Room 2317 (Building J)