On the characteristics of dynamic correlations between asset pairs
Year of publication: |
2014
|
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Authors: | Jacobs, Michael <Jr.> ; Karagozoglu, Ahmet K. |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 32.2014, p. 60-82
|
Subject: | Correlation forecasting | Dynamic conditional correlation | GARCH | Risk management | Hedging | Korrelation | Correlation | ARCH-Modell | ARCH model | Risikomanagement | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
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