An empirical study of correlation and volatility changes of stock indices and their impact on risk figures
Year of publication: |
2011
|
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Authors: | Bissantz, Nicolai ; Ziggel, Daniel ; Bissantz, Kathrin |
Published in: |
Acta Universitatis Danubius / Oeconomica. - Galati : Ed. Universitaria Danubius, ISSN 2065-0175, ZDB-ID 2543389-1. - Vol. 7.2011, 4, p. 127-141
|
Subject: | Volatilität | Volatility | Korrelation | Correlation | Aktienindex | Stock index | ARCH-Modell | ARCH model |
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