Title: The local Gaussian correlation with applications to finance
Authors: Baard Stoeve - University of Bergen (Norway) [presenting]
Abstract: The local Gaussian correlation (LGC) is discussed. LGC 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.