Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Zeno Adams, Roland Füss, Thorsten Glück
| Year of publication: |
February 2017 ; This version: February 2017
|
|---|---|
| Authors: | Adams, Zeno ; Füss, Roland ; Glück, Thorsten |
| Publisher: |
St. Gallen : School of Finance, University of St. Gallen |
| Subject: | Change-point tests | Correlation breaks | Dynamic conditional correlation (DCC) | Multivariate GARCH models | Spurious conditional correlation | Statistischer Test | Statistical test | Strukturbruch | Structural break | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns |
freely available
| Extent: | 1 Online-Ressource (circa 60 Seiten) Illustrationen |
|---|---|
| Series: | Working papers on finance. - Sankt Gallen, ZDB-ID 2252526-9. - Vol. no. 2016, 13 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686765