1999 · 306 citations · 2 references
ManagementFinanceRisk ManagementAsset PricingFinancial EconomicsFinancial Risk ManagementCapital Asset Pricing ModelCredit RiskDependence ModelingFinancial RiskRisk MeasurementRisk-return AnalysisArbitrage Pricing Theory TestsConditional Capital Asset Pricing ModelCorrelationDependence In Asset ReturnsFinancial Risk Management SystemsMultivariate Normal DistributionSerial Correlation
Correlation is a mineeld for the unwary. One does not have to search far in the literature of nancial risk management to nd misunderstanding and confusion. This is worrying since correlation is a central technical idea in nance. Correlation lies at the heart of the capital asset pricing model (CAPM) and the arbi-
2
Multivariate Models and Dependence Concepts.
Trevor J. Ringrose, Harry Joe · Biometrics · 1998 · 3.5K citations