The asymmetric behavior and procyclical impact of asset correlations

Lee, Shih-Cheng, Lin, Chien-Ting and Yang, Chih-Kai 2011, The asymmetric behavior and procyclical impact of asset correlations, Journal of banking and finance, vol. 35, no. 10, pp. 2559-2568.

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Title The asymmetric behavior and procyclical impact of asset correlations
Author(s) Lee, Shih-Cheng
Lin, Chien-Ting
Yang, Chih-Kai
Journal name Journal of banking and finance
Volume number 35
Issue number 10
Start page 2559
End page 2568
Total pages 10
Publisher Elsevier BV, North-Holland
Place of publication Amsterdam , The Netherlands
Publication date 2011-10
ISSN 0378-4266
1872-6372
Keyword(s) Basel accord
asset correlation
size effect
default probability
procyclicality
Language eng
Field of Research 149999 Economics not elsewhere classified
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30050554

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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