International correlation asymmetries : frequent-but-small and infrequent-but-large equity returns
Year of publication: |
December 2016
|
---|---|
Authors: | Solnik, Bruno ; Thaisiri Watewai |
Published in: |
Review of asset pricing studies. - Cary, NC : Oxford Univ. Press, ISSN 2045-9920, ZDB-ID 2581398-5. - Vol. 6.2016, 2, p. 221-260
|
Subject: | Kapitalmarktrendite | Capital market returns | Volatilität | Volatility | Korrelation | Correlation | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Welt | World | 2001-2013 |
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