Excessive Variation in Risk Factor Correlation and Volatilities
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Neftci, Salih |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Excess volatility | risk factor correlations Kalman filter |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 254 |
| Classification: | C5 - Econometric Modeling ; F2 - International Factor Movements and International Business ; G0 - Financial Economics. General |
| Source: |
Persistent link: https://www.econbiz.de/10005537674