Th is is du e to the fact th at w e a re stu dyin g

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Unformatted text preview: th at w e a re stu dyin g very rare occu rance s. -0.3 Threshold 0.15 0.20 0.25 0.30 0.35 0.4 0 0.4 5 0.5 0 0.5 5 0.6 0 0.6 5 0.70 0.75 0.80 0.85 Left Index Threshold 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 0 Right 0.15 0.20 0.25 0.30 0.35 0.4 0 0.4 5 0.50 0.55 0.6 0 0.6 5 0.70 0.75 0.80 0.85 Left Sim ulate d Thr eshold Corre la tions ρ 0.0 Left Right Simulated Threshold Correlations ρ 0.3 Right Left Right Threshold 0.05 0.10 0.15 0.20 0.25 0.30 0.35 0.4 0 0.4 5 0.50 0.55 0.6 0 0.6 5 0.70 0.75 0.80 0.85 0.9 0 0.9 5 -0.3 -0.02784 -0.0354 1 -0.04 19 9 -0.04 830 -0.054 6 1 -0.06 108 -0.06 784 -0.074 9 9 -0.0826 3 -0.09 089 -0.0826 3 -0.074 9 9 -0.06 784 -0.06 108 -0.054 6 1 -0.04 830 -0.04 19 9 -0.0354 1 -0.02784 0.6 Left 0.9 Right Left Right Analytical Threshold Correlations ρ 0 0.3 0.6 0.9 0.00 0.06 1286 0.19 4 72 0.59 04 8 0.00 0.07274 7 0.22315 0.6 314 5 0.00 0.081870 0.24 4 6 8 0.6 59 16 0.00 0.09 0020 0.26 317 0.6 809 7 0.00 0.09 76 9 5 0.28000 0.6 9 9 4 0 0.00 0.105152 0.29 584 0.7156 4 0.00 0.112552 0.31110 0.73034 0.00 0.120017 0.326 06 0.74 39 3 0.00 0.1276 4 7 0.34 09 2 0.756 6 8 0.00 0.13554 0 0.35587 0.76 882 0.00 0.1276 4 7 0.34 09 2 0.756 6 8 0.00 0.120017 0.326 06 0.74 39 3 0.00 0.112552 0.31110 0.73034 0.00 0.105152 0.29 584 0.7156 4 0.00 0.09 76 9 5 0.28000 0.6 9 9 4 0 0.00 0.09 0020 0.26 317 0.6 809 7 0.00 0.081870 0.24 4 6 8 0.6 59 16 0.00 0.07274 7 0.22315 0.6 314 5 0.00 0.06 1286 0.19 4 72 0.59 04 8 Analytical threshold calculations were done in MA TLAB. To find out more about the anlaytical calculations you may look at the appendix of Ang, A. and J. Chen, 2002, Asymmetric Correlations of Equity Portfolios, Journal of Financial Economics, 63, 3, 443-494 Quantile Asset 1 Asset 2 Threshold Correlation Number of Observations 0.15 0.20 0.25 0.30 0.35 0.4 0 0.4 5 0.50 0.55 0.6 0 0.6 5 0.70 0.75 0.80 0.85 -1.206 1 1.4 6 51 -0.4 002 -0.5151 2.1087 0.1751 -0.54 84 -0.4 54 2 0.4 181 -0.86 6 6 0.6 335 -0.7783 -0.8221 -0.6 6 79 0.1119 1.1156 -0.0358 0.9 500 -0.0118 0.3811 -1.714 9 -0.6 29 9 1.6 010 -0.3377 0.14 74 -0.2236 -1.2177 0.9 6 20 1.6 512 0.0372 2.114 3 -1.7879 -1.29 04 0.56 4 2 1.04 9 8 2.179 5 -0.879 6 -0.9 4 75 -0.04 11 -1.1374 0.5022 0.9 555 1.2108 -0.179 6 1.6 79 1 0.79 9 5 0.6 357 -1.56 4 3 -0.19 9 2 -0.5136 -0.236 9 0.5555 -0.019 6 -0.1853 0.3103 0.1010 2.1737 -0.6 79 2 0.6 886 0.6 232 -0.714 3 0.7882 0.6 038 0.5173 0.9 4 9 4 -0.059 3 0.1255 1.16 26 1.4 59 8 -0.4 6 77 -0.04 6 9 -0.8506 -0.6 26 3 0.309 1 0.8850 -1.14 02 0.6 217 -0.3202 -0.59 56 -0.324 0 0.26 15 -0.6 283 -1.3734 -0.859 8 -0.306 7 -0.5251 0.226 2 -0.39 14 -0.6 182 -1.5504 0.159 9 0.3778 -0.59 54 0.2087 -1.2035 -0.9 877 1.4 89 7 1.076 5 -0.7781 -1.9 028 0.34 9 5 1.8737 1.176 5 1.256 7 0.34 24 0.9 6 9 4 1.4 031 2.2335 0.2756 0.2312 -0.3057 0.8284 1.334 0 0.26 6 1 0.16 07 -0.2533 -0.26 70 -1.34 55 0.506 8 -0.24 89 1.34 04 -0.34 4 6 -0.8521 -0.0072 -0.3057 0.6 39 5 0.29 38 0.4 282 0.086 7 -2.6 085 -1.074 6 2.236 3 -0.6 571 0.189 8 0.76 03 -1.3837 0.124 2 -0.7220 -1...
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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