Forecasting international stock market correlations: does anything beat a CCC?
Year of publication: |
2010
|
---|---|
Authors: | Manner, Hans ; Reznikova, Olga |
Institutions: | Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät |
Subject: | dynamic conditional correlation | regime switching | stochastic correlation | smooth correlations | indirect model comparison | portfolio construction |
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