Asymmetric Correlations of Equity Portfolios

By Andrew Ang, Joseph Chen. 2002

1,581 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1ef8d749c458ca26cfd179334823bd9a56b381e7

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Citations in the corpus

Modelling the dependence structure of financial assets : A survey of four copulas (2004, neutral): “If one believes in the asymmetries in equity return dependence structures reported by for instance Longin and Solnik (2001) and Ang and Chen (2000), the Student’s t-copula may also be too restrictive to provide a reasonable fit.”
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks (2010, neutral): “in Ang and Chen (2002) among others, indirectly suggests non-zero jump sensitivities, or fld i > 0. Despite the potential importance of such a decomposition, both from a theoretical”
Testing Conditional Factor Models: A Nonparametric Approach (2011, neutral): “, Ang and Chen (2002); Ang et al.”
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005, background): “mt+1 = g0t + g1tR W t+1 + g2t ¡ R t+1 ¢2 + g3t ¡ R t+1 ¢3 , (3)”
A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, positive): “To address the above-mentioned concerns, some researchers have applied multivariate-GARCH models (Ang and Chen, 2002; Tastan, 2006; Dungey and Martin, 2007), or Hamilton's regime-switching models (Ang and Bekaert, 2002; Ang and Chen, 2002) to model the joint dynamics of returns.”
Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries (2015, neutral): “5 The equation (3) can be re-parameterized as follows with standardized returns,  = D−1  e,”
Dynamic Models of Portfolio Credit Risk (2008, result): “Their work is consistent with that of Ang and Chen (2002) who find that the correlation between equity returns is higher during a market downturn.”
A review of copula models for economic time series (2012, background): “As in Chen and Fan [26], we use the EDF to estimate the marginal distribution of these returns.”