Volatility-based adjustments to portfolio risk assessment tools
The article is devoted to the analysis of correlation between assets in the Russian stock market. The purpose of the study is to assess the stability of correlation coefficients. The results of the Jennrich test and correlation analysis carried out indicate that correlation coefficients differ signi...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Publishing House of the State University of Management
2023-02-01
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| Series: | Вестник университета |
| Subjects: | |
| Online Access: | https://vestnik.guu.ru/jour/article/view/4121 |
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