Extreme correlations and optimizing for stress

Are Long-Duration Treasuries the Best Hedge for Equities?

S Ramkumar, A Bates - The Journal of Portfolio Management, 2020 - pm-research.com
The authors study the link between bond maturity and equity diversification in developed
economies across the last six decades. Although correlations between equities and interest …
Save Cite Cited by 3 Related articles All 2 versions

Extreme value theory and credit spreads

W Phoa - Extreme Events in Finance: A Handbook of Extreme …, 2016 - Wiley Online Library
Extreme Value Theory and Credit Spreads Page 1 k Fourteen Chapter Extreme Value Theory
and Credit Spreads Wesley Phoa Capital Fixed Income Investors, The Capital Group …
Save Cite Cited by 1 Related articles All 3 versions