Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes.
Year of publication: |
2007-03
|
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Authors: | Fischer, Matthias |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Lagrange multiplier test | constant correlation | trigonometric functions |
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