Are correlations constant over time?: application of the CC-TRIGt-test to return series from different asset classes
Year of publication: |
2007
|
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Authors: | Fischer, Matthias J. |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Korrelation | Statistischer Test | Finanzmarkt | Theorie | Welt | Lagrange multiplier test | constant correlation | trigonometric functions |
Series: | SFB 649 Discussion Paper ; 2007,012 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 558528465 [GVK] hdl:10419/25184 [Handle] |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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Fischer, Matthias, (2007)
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Fischer, Matthias, (2007)
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