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Stressing correlations and volatilities : a consistent modeling approach
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of empirical finance 21 (2013), pp. 174-194
Persistent link: https://www.econbiz.de/10009745264
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How past market movements affect correlation and volatility
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of international money and finance 50 (2015), pp. 78-107
Persistent link: https://www.econbiz.de/10010465421