Seminar Lecture by Dr. Bård Støve
Dr. Bård Støve from the University of Bergen will give a Seminar Lecture: The local Gaussian correlation with applications to finance
Abstract: This talk will discuss the local Gaussian correlation (LGC),
which is a dependence measure capable of describing non-linear
relationships. We will use this measure to study asymmetric dependence
structures between financial returns, in particular give evidence of
increased dependence during bear markets. We will also present the use
of the LGC in the portfolio optimization problem.