As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

In this paper we introduce a simple version of the “local-in-index” correlation model in which the correlation function does not depend on the index but on a synthetic index computed solely from the ...

The correlations between the counts are modeled as , (exchangeable correlations). For comparison, the correlations are also modeled as independent (identity correlation matrix). In this model, the ...