D. Cooley

Regime-Aware Estimation of Large Equity Correlation Matrices: Tail-Pairwise Dependence and Dynamic Conditional Correlation Decomposition for Water and Energy Sectors

Equity correlation matrices are foundational to quantitative risk, yet the operational default of a single Gaussian-copula structure fit to the full sample has a structural defect: it forces asymptotic tail-independence and so cannot represent the joint moves that drive risk in stress episodes. We argue that the depend...