Implied Correlation is a financial metric that, as a derived measure of co-movement between asset returns, quantifies the market’s expectation of future correlation inferred from the prices of multi-asset options or volatility surfaces.
88
Publications
5.4K
Citations
141
Authors
107
Institutions
Publications per year
2017–2026
14
Parents
Publications
88
Asymmetric correlations of equity portfolios
Andrew Ang, Joseph Chen · Journal of Financial Economics · 2002 · 1.6K citations
Increased Correlation in Bear Markets
Rachel Campbell, Kees Koedijk, Paul Kofman · Financial Analysts Journal · 2002 · 286 citations
Business, Finance, Risk Management +17
Asymmetric Correlations of Equity Portfolios
Andrew Ang, Joseph Chen · SSRN Electronic Journal · 2000 · 267 citations · Full text
1–5 of 88
Authors
141
- GV
11
h-index
- AB
4
h-index
- AA
3
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- RT
3
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- JD
3
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1–5 of 141
Institutions
107
Frankfurt School of Finance & Management
Frankfurt am Main, Germany
8 h-index
11 publications
412 citations
Columbia University
New York, United States
5 h-index
6 publications
2K citations
Imperial College London
London, United Kingdom
4 h-index
4 publications
77 citations
Centre for Economic Policy Research
London, United Kingdom
4 h-index
4 publications
193 citations
Tilburg University
Tilburg, The Netherlands
4 h-index
5 publications
218 citations
National Bureau of Economic Research
Cambridge, United States
3 h-index
4 publications
105 citations
INSEAD
Fontainebleau, France
3 h-index
4 publications
210 citations
Intesa Sanpaolo (Italy)
Turin, Italy
3 h-index
3 publications
60 citations
1–8 of 107
Venues
- SSRN Electronic Journal
Repository · 25 publications · 917 citations
15
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- The Journal of Derivatives
5 publications · 308 citations
5
h-index
- Physica A Statistical Mechanics and its Applications
4 publications · 65 citations
4
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- Quantitative Finance
3 publications · 68 citations
3
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- Journal of Banking & Finance
2 publications · 57 citations
2
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1–5