Excessive variation in risk‐factor correlations and volatilities

C-Tier

Journal: Journal of Futures Markets

Year: 2002

Volume: 22

Issue: 12

Pages: 1119-1146

Authors (3)

Turan G. Bali (not in RePEc) Hans Genberg (not in RePEc) Salih N. Neftci

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count