Large returns, conditional correlation and portfolio diversification: A value-at-risk approach

Param Silvapulle, Clive W J Granger

Research output: Contribution to journalArticleResearchpeer-review

54 Citations (Scopus)
Original languageEnglish
Pages (from-to)542 - 551
Number of pages10
JournalQuantitative Finance
Volume1
Publication statusPublished - 2001

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